[Quantlib-users] Example for ql.SabrSwaptionVolatilityCube

[Renren D. <dr...@gm...>]

Hi Quantlib Users,

I am very new to QuantLib and its Python interface, so apologies if this
was obvious.

I was trying to figure out how to use ql.SabrSwaptionVolatilityCube, I
can't seem to find a working example on how to work.

Here are the closest I got so far.

many thanks in advance,
thank you
-Renren



optionTenors = ['1y', '2y', '3y']
swapTenors = [ '5Y', '10Y']

normal_vols = [
    [50, 60],
    [70, 80],
    [90, 95]]

normal_vols = [[vol / 10000 for vol in row] for row in normal_vols]
swapTenors = [ql.Period(tenor) for tenor in swapTenors]
optionTenors = [ql.Period(tenor) for tenor in optionTenors]
normal_vols = [[vol / 10000 for vol in row] for row in normal_vols]


calendar = ql.TARGET()
bdc = ql.ModifiedFollowing
dayCounter = ql.ActualActual(1)

swaptionVolMatrix = ql.SwaptionVolatilityMatrix(calendar
                                                , bdc
                                                , optionTenors
                                                , swapTenors
                                                , ql.Matrix(normal_vols)
                                                , dayCounter
                                                , False
                                                , ql.Normal)

swaptionVolHandle = ql.SwaptionVolatilityStructureHandle(swaptionVolMatrix)


strikeSpreads = [ -0.01, 0.0, 0.01]
volSpreads = [
    [0.5, 0.55, 0.6],
    [0.5, 0.55, 0.6],
    [0.5, 0.55, 0.6],
    [0.5, 0.55, 0.6],
    [0.5, 0.55, 0.6],
    [0.5, 0.55, 0.6],
]

###

oisQuote = ql.QuoteHandle(ql.SimpleQuote(0.04))

ytsOis = ql.FlatForward(today, oisQuote, ql.Actual360())
ytsOis.enableExtrapolation()
t0_Ois = ql.YieldTermStructureHandle(ytsOis)

swapIndexBase = ql.EuriborSwapIsdaFixA(ql.Period(1, ql.Years), t0_Ois,
t0_Ois)
shortSwapIndexBase = ql.EuriborSwapIsdaFixA(ql.Period(1, ql.Years), t0_Ois,
t0_Ois)


##
vegaWeightedSmileFit = False

ql.SabrSwaptionVolatilityCube( swaptionVolHandle,
                                optionTenors,
                                swapTenors,
                                strikeSpreads,
                                volSpreads,
                                swapIndexBase,
                                shortSwapIndexBase,
                                vegaWeightedSmileFit,
                                [(0.1,0.1,0.1,0.1) ] * 6,
                                (False, False, False, False),
                                 True
                             )