QuantlibXL: vol cube construction with qlSwaptionVolCube1

Posted by JKyo on Dec 17, 2010; 6:04am
URL: http://quantlib.414.s1.nabble.com/QuantlibXL-vol-cube-construction-with-qlSwaptionVolCube1-tp6.html

Hello,

I am using qlSwaptionVolCube1 to construct the volatility cube for US swaption. The OTM quotes I have are up to +/- 200 bps. But for some short option tenor buckets (such as 3MX3Yr), ATM rates are less than 2%. Therefore, no -200 bps OTM quotes are available for them. How can I specify a matrix of spread vol quotes with missing elements? for example, no -200 bps quote for 3MX3Yr?

Thanks,

J