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

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

Hi, regarding 2/ - to my knowledge the swaptionvolmatrix only accepts either black, shifted black or normal vols as quotes. I believe you should be able to use something like bachelierBlackFormulaImpliedVol() to convert premiums to implied vols, which you can then feed into the swptionvolmatrix.

> On 3 Feb 2021, at 23:21, T O <tm...@ho...> wrote:
> 
> 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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