Swaption SABR pricing


#1

Hello,

first of all thanks for the high-end opensource software that you are providing.

Currently I am trying to understand AAD and to do so I am looking into the pricing of a swaption, more specifically strata_examples SabrSwaptionCubePvRiskExample.java.

I was trying to change the input file that contains the quotes for the interest rates, in order to change the rates and obtain a new price. I believe that that information is stored in example-calibration/quotes/quotes-20160229-eur.csv.

However, the pricing does not change when I modify that file.

Do you maybe have any suggestion about how to change the input file for the interest rates?

Best,

Lucia


#2

I changed the EUR-OIS-1Y and EUR-OIS-2Y lines in that file and the PV changed. Perhaps you changed a longer tenor that was beyond the life of the swaption?