Using Dupire local volatility feature


#1

I am using the demo version to configure swap view (the swap parity view comewith the demo), but do not see result in the analytics report.

I added the following in the view config. but no result showing
LocalVolatilitySurfaceCalculationMethod = DupireLocalSurfaceMethod
CalcationMethod=LocalVolatilityPDE,
Surface=DEFAULT
LocalVolatilitySurfaceParameterization=Moneyness

Is there another property I need to set ithe view? Do I need to define the vol surface fist? If so ,how? thanks!


#2

Hi,
At the moment, local volatility surfaces are not available for swaptions. We will be adding support at some point in the future. In general, if adding properties to a column in the view definition means that the result disappears, then these properties do not apply to the instrument / value requirement name.