Re: [Quantlib-dev] Swaption VolCube calibration

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

OK, I defined a new class GeneralSwaptionHelper parallel to and essentially copied from SwaptionHelper class which carries an additional parameter "const Handle<Quote>& strikeSpread" to which one has to paas a shared_ptr to a strike spread quote taken from smile information from vol cube data (according to sticky strike assumption). Within the class this value is to be added to the .fairRate() from the VanillaSwap which is used to calculate the private excerciseRate_. Done. Seems to work well so far.

Rgds
Frank

-------- Original-Nachricht --------
> Datum: Wed, 31 Oct 2007 11:18:56 +0100
> Von: "Frank Hövermann" <fho...@gm...>
> An: qua...@li...
> Betreff: [Quantlib-dev] Swaption VolCube calibration

> 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
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