Swaption Vol Diagonale

[Anonymous]

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

[Anonymous]

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.

[Author]

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