Re: [Quantlib-users] SwaptionVolCube1 in QLXL

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

Hi Peter, that would be of great help! Can you please send the adjustments?

Thank you very much,

Philip


> Though a quote object can be invalid it does not help for the spread vol
> quotes, because the cube does not check this property. I can send some
> adjustments to the code which make it run with the full quotes matrix
> ignoring cells with negative strikes if of interest. Regards, Peter

> Am 27.09.2011 16:46, schrieb Philip Hong:
>
> 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
>
>
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