SwaptionVolCube2

Posted by Yan Kuang on
URL: http://quantlib.414.s1.nabble.com/Swap-valution-with-eurodollar-futures-tp6459p6460.html


Hi All,

Just about one year inaction. I am back to try quantlib again. I am still using 0.9.7.

I am doing a test on CMS replication. I use SwaptionVolCube2 to get black vol at different strikes. The market data
for swaption is skew (vol drops when strike increase), see row 82 in Sheet 'Swaption Vol Market Data'.

ATM swap rate is about 6.14%, yet I get the higher vol than atm vol when strikes above 6.14, see column E and F in sheet 'cms rep'.

Enclosed please the workbook and relevant code.

Many thanks for the help,

Yan


PS, has anyone has luck to build a cash-future-swap curve which match Murex reasonable well? By that I mean forward simple
rate difference is with 1bp. I don't have the luck, as some section of the curve has more than 10bp difference in my experience.


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