Swaption VolCube calibration

Posted by Frank Hövermann on Oct 31, 2007; 11:18am
URL: http://quantlib.414.s1.nabble.com/Swaption-VolCube-calibration-tp9886.html

Good morning,
just to ensure that I'm not wrong: As far as I was able to find out there is no 'general' SwaptionHelper class having a strike as parameter, right? It does not seem to be a big deal since within the ATM SwaptionHelper class the fairRate of a VanillaSwap is calculated and used as the private excerciseRate_. I would suggest to leave that as an input parameter to be able to use ITM and OTM swaptions as well for calibration purposes. Does that make sense?

Best regards
Frank
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