Re: [Quantlib-users] Example for ql.SabrSwaptionVolatilityCube

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

Hi, unfortunately the type for both the vol spreads and the parameter
guesses is a bit clumsy—it's std::vector<std::vector<Handle<Quote>>>.

Before creating the cube you'll have to write

volSpreads = [[ql.QuoteHandle(ql.SimpleQuote(x)) for x in row] for row in
volSpreads]
paramGuesses = [[ql.QuoteHandle(ql.SimpleQuote(x)) for x in row] for row in
[(0.1,0.1,0.1,0.1)] * 6]

after which the following call works:

ql.SabrSwaptionVolatilityCube( swaptionVolHandle,
                                optionTenors,
                                swapTenors,
                                strikeSpreads,
                                volSpreads,
                                swapIndexBase,
                                shortSwapIndexBase,
                                vegaWeightedSmileFit,
                                paramGuesses,
                                (False, False, False, False),
                                 True
                             )

Hope this helps,
    Luigi


On Sat, Dec 23, 2023 at 1:39 AM Renren Dong <dr...@gm...> wrote:

> 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
>                              )
>
>
>
>
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