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

[Luigi B. <lui...@gm...>]

Hello,
    the idea of using ForwardSpreadedTermStructure is correct, but as you
saw, currently there's no way to limit the spread between two dates.
To do that, you can modify the C++ class and add the functionality.  The
constructor would take and store the two dates; the forwardImpl method
would add the spread only if between the two times corresponding to the
dates (accordingly to the day counter of the underlying term structure);
and the zeroYieldImpl method should add to the underlying curve the average
of the added spread from 0 to t, whose formula you can deduce.

If you do so, please consider contributing the changes as a pull request.

Regards,
    Luigi


On Thu, Feb 4, 2021 at 12:23 AM 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
>
>
>
>
> Sent from Outlook <http://aka.ms/weboutlook>
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