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!
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.
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!
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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