[Quantlib-users] greeks with swaptionvolcube2

[Aleksis A. R. <ale...@go...>]

Hi. In case anyone has an explanation: I get a jagged behaviour in a my greeks when I define a (what is to my knowledge sensible) swaption smile using swaptionvolcube2.

The greeks are being calculated by source bumping (using a 1bp shift for the rate delta, shown below along with the NPV). The behaviour isn’t too sensitive to the bump size.

Portfolio 1 consists of a 1y4y otm payer swaption and Portfolio 2 of a same strike 5y otm bermudan swaption with annual calls (both valued using the Hull-White GSR model calibrated to the swaption vol cube with MaturityStrikeByDeltaGamma mode). 

The code is in Python.

Thanks, Aleksis