Re: [Quantlib-users] Question about fitting SwaptionVolCube2 with SOFR swaptions

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

Hello Jason,
    SOFR-based swaptions are still an open implementation problem—see
https://github.com/lballabio/QuantLib/pull/1593 for an attempt at adding
them.  The vol cubes might need to be modified as well once we have them.
I don't think we have a corresponding swap index to pass right now.  I'm
not sure how this is managed in ORE; Peter, do you have any info on this?

Luigi



On Thu, Feb 1, 2024 at 7:55 PM Jason Lee <lee...@gm...> wrote:

> Hi,
>
> For fitting SwaptionVolCube2, we need to specify the swapindexbase and
> shortswapindexbase.  While Libor is available, I used swapindex class, with
> familyname = usdliborswapisdafixa and tenor = 1y and 2y, as parameters.  My
> question is, most traded swaptions now are sofr1d based, how should I set
> up the related parameters in this case?  Also, some details on these two
> parameters would be highly appreciated.  I tried to research online but
> couldn't seem to find a good resource.  Is it related to the payment
> frequency on fix or float leg?
>
>
> Thank you so much!
>
> Best,
> Jason
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