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

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

I would say so, yes.

On Tue, Feb 6, 2024 at 5:09 PM Martin Aussenhof <mau...@pe...>
wrote:

> Thank you Luigi.
>
> I presume it is not possible to extract normal vols using quantlib until
> OISs and pricing engines amended for them can be covered by the Swaption
> class. Is that correct?
>
>
> On Tue, 6 Feb 2024 at 16:00, Luigi Ballabio <lui...@gm...>
> wrote:
>
>> No, I don't think that would work.  VanillaSwap assumes a single fixing
>> at the beginning of the coupon.
>>
>> On Fri, Feb 2, 2024 at 2:16 PM Martin Aussenhof <mau...@pe...>
>> wrote:
>>
>>> Hi Luigi,
>>>
>>> Is it safe to use the VanillaSwap class to create a SOFR swaption? If
>>> so, is there an example somewhere. I’ve searched through the archive of
>>> this mailing list and found plenty of information, but am struggling to
>>> create a swaption based on sofr that correctly solves for normal vol.
>>>
>>> Thanks,
>>> Martin
>>>
>>> On Fri, 2 Feb 2024 at 12:25, Luigi Ballabio <lui...@gm...>
>>> wrote:
>>>
>>>> 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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