[Quantlib-dev] Swaption VolCube calibration

[<fho...@gm...>]

Good morning,
just to ensure that I'm not wrong: As far as I was able to find out there is no 'general' SwaptionHelper class having a strike as parameter, right? It does not seem to be a big deal since within the ATM SwaptionHelper class the fairRate of a VanillaSwap is calculated and used as the private excerciseRate_. I would suggest to leave that as an input parameter to be able to use ITM and OTM swaptions as well for calibration purposes. Does that make sense?

Best regards
Frank
-- 
Psssst! Schon vom neuen GMX MultiMessenger gehört?
Der kann`s mit allen: http://www.gmx.net/de/go/multimessenger