Swaption Cube


The configuration of the swaption cube can be accessed via Market→Volatility→Swaption

Swaption Cube

The user must set the relevant information, in particular

  • The scheduler, discount and projection curves (to schedule and calculate forwards)
  • The quotation type, to choose between LogNormal, Normal, Premium, ShiftedLogNormal (and shift)
  • The tenors, expiries, and strikes

Uploading Data

Market quotes can be uploaded using the bottom right datagrid. First specify the tenor, then paste in the data and press the Upload button. Alternatively entering a tenor and pressing the Enter key will display the existing data if any.

Quote Conversion

The same function/screen can be used to convert quotes from the cube type to another type, see conversion window below.

Swaption Quote Conversion