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#6753
manu
Participant

Seems this might be a bug.

If you have 1 vol point EG <OptionTenors>1Y</OptionTenors> <SwapTenors> 10Y</SwapTenors> then everuthing works fine.
If you have a term structure as defined above then you get the error message but if you add say an 11Y option tenor then everything works fine.
<OptionTenors>1M,3M,6M,1Y,2Y,3Y,4Y,5Y,7Y,10Y,30Y,50Y</OptionTenors>
<SwapTenors> 10Y,11Y</SwapTenors>

IMHO I think that it should be ok to define just a swaption diagonale with a single tenor.

Again thanks for the tool.

Cheers
E.