Swaption pricing, volatilities with tenor,expiry and strike together

#1

Hi,

We are trying to implement swaption pricing on our side. Currently we struggle to construct swaption volatilities, I see that there are options to use NormalSwaptionExpiryStrikeVolatilities or NormalSwaptionExpiryTenorVolatilities, but in our case we would like to use all three: tenor, expiry and strike. Is there a reason why there is no option to have three of them all together?

Thanks!

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#2

I don’t think there is any particular reason why not. The concept of a “cube” (3 dimensions) was mentioned on occasion, but was never actually needed enough to be written. As such, Strata only contains curves and surfaces at present.

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#3

Hi,

Thank you for your reply! Oh ok, I see. Is there any plans to add support for this at some point? We have a case where this is business critical . And right now we are in doubt how to proceed.

Thanks!

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#4

We don’t have any plans to do this at the moment.

I imagine you would need to create a Cube interface and implementation modelled on Surface. Then create a new implementation of SwaptionVolatilities that uses the cube. Whether that is sufficient would require more investigation.

Hope that helps.

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