vol cube example

[Siddharth Alexander]

Hi- Is there a sample spreadsheet of how to build a swaptionvolcube with many, strikes, tenors, and skews? Where can I find the difference between SwaptionVolCube1 and SwaptionVolCube2?

 

Thanks,

S

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[Ferdinando M. Ametrano-3]

On Thu, Aug 7, 2008 at 11:35 PM, Siddharth Alexander <[hidden email]> wrote:
> Hi- Is there a sample spreadsheet of how to build a swaptionvolcube with
> many, strikes, tenors, and skews?
No

> Where can I find the difference between
> SwaptionVolCube1 and SwaptionVolCube2?

SwaptionVolCube1 aimed to be a better implementation of
SwaptionVolCube2, but it was never really finished, because while
working on that I realized that a radically different approach was
needed. Stick with SwaptionVolCube2, at least until the new
experimental classes become fully functional

ciao -- Nando

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[Luigi Ballabio]

On Fri, 2008-08-08 at 14:59 +0200, Ferdinando Ametrano wrote:
> SwaptionVolCube1 aimed to be a better implementation of
> SwaptionVolCube2, but it was never really finished, because while
> working on that I realized that a radically different approach was
> needed.

Should we remove SwaptionVolCube1 from the library?

Luigi


--

A programming language is low-level when its programs require attention
to the irrelevant.
-- Alan Perlis



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