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  • #6750
    manu
    Participant

    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

    #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.

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