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Home / Swaption Vol Diagonale

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    manu
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    Hello,

    I am a total noob on the tool (but a relatively seasoned derivative user) and it looks like a fabulous thing.
    I am trying to get it to work with a swaption diagonale only instead of a full surface.
    So if I configure my swaption vol as follow (objective is to force the tool to calibrate on the 10y swap mty for vols)
    <OptionTenors>1M,3M,6M,1Y,2Y,3Y,4Y,5Y,7Y,10Y,30Y,50Y</OptionTenors>
    <SwapTenors> 10Y</SwapTenors>

    then I get the following error
    StructuredErrorMessage { “errorType”:”Curve”, “curveId”:”SwaptionVolatility/EUR/EUR_SWPTN”, “exceptionType”:”Failed to Build Curve”, “exceptionMessage”:”generic yield volatility curve building failed for curve EUR_SWPTN on date 2019-09-30: not enough x points to interpolate: at least 2 required, 1 provided”}

    Which looks odd because I have supplied more tan 1 point (12 to be precise) and that if I define My swaption vol as 1 point then I have no error messages.

    Anything I am obviously not doing right?

    Many thanks in advance for the help and obviously the tool.

    Cheers
    Manu

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