LZ40

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Const Notional Cross Currency Swaps

I don't mean to rush you, it seems we are quite close to resolve this request @paolodelia99 ?

Const Notional Cross Currency Swaps

Sure no problems at all. Apologies I've missed that PR Thanks for your vast efforts @paolodelia99 !

Long execution time when pricing Swaption out from ql.SabrSwaptionVolatilityCube()

Dear @kp9991-git , apologies I missed your reply. Please see below code. FYI, I get roughly 0.3s for pricing IRS underlying but 3 mins for pricing OIS underlying. Hope this...

Long execution time when pricing Swaption out from ql.SabrSwaptionVolatilityCube()

@kp9991-git @lballabio do you think if we have a function called MakeOISwaption that has similar feature like telescopicValueDates will reduce the calibration time please?

Long execution time when pricing Swaption out from ql.SabrSwaptionVolatilityCube()

Thanks for your input @kp9991-git . I would need to use it for both use case. Yea I noticed the subsequent call is quick. But the problem is if one...

Long execution time when pricing Swaption out from ql.SabrSwaptionVolatilityCube()

Yes, the use case is exactly what you mentioned - rebuild and reprice swaptions. I will try with your suggestion. Much appreciated on your inputs @kp9991-git .