[Quantlib-users] SwaptionVolCube1 in QLXL

[Philip H. <phi...@gm...>]

Hello,

I’m using SwaptionVolCube1 in QuantlibXL and I have a few questions:


-  I’m trying to input vol quotes into SwaptionVolCube1 (from ATM - 200bps
to ATM + 200bps, expiries from 1M to 30Y, swap tenors from 1Y to 30Y).
 However,
for the ATM-200/short expiry/short swap tenor swaptions, a lot of those are
not quoted (since rates in the front end are so low, ATM-200 would take us
negative).  So should I just leave those vol quotes blank in the input
matrix?  Does anyone know what’s the quantlib convention for inputting a
sparse matrix where there’s no values for certain cells?

-  Again, since front end rates are so low, when I include ATM-200 or even
ATM-100 in my strike spreads, I’ll almost certainly run into negative strike
territory in the short expiry/tenors.  In fact, when I tried to price a
swaption (NPV) using the VolCube1 in the pricing engine, I get the following
error:

“qlInstrumentNPV - strike (-0.00485626) must be non-negative”

I tried excluding -200 and -100 and was able to get it to work.  However, i
do want to include at least ATM-100 for the longer expiries/strikes, but
have not figured out how to do so.  Does anyone have any suggestions ?

Any pointers would be much appreciated. Thanks,



Philip