[Quantlib-users] Adding Spread to Forward / Fwd Premiums for vols

[T O <tm...@ho...>]

Hello,

I have two somewhat unrelated questions.

1.) I was looking to implement Hagan's Delta risk hedging via waves.  In order to calculate the box shifts in the instantaneous forward rate can I use the ForwardSpreadedTermStructure to revalue the portfolio?  I don't actually see how you can set the spread between 2 dates, but was curious if there's a way.


2.) Is there a way to feed SwaptionVolMatrix and swaptionvolcube2 forward premiums directly to imply normal vols? or do I have to do this in steps.  convert to spot prem and get implied vol for each point on the surface/cube.

Thanks,
TO





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