IRVolCube design

[iamorlando]

Hello,
I see in the rateslib developers page a reference to possibly ongoing design of IRVolCube. I could use this functionality. Is there any code or perhaps just something as simple as a sketch or plan for this functionality that I can reference? I would like to
1, educate myself with the best way to plug this into rateslib
2, end up with code that may be useful to extend rateslib toward term structure modeling and rates option pricing.

thank you!

[attack68]

IRVol will re-ue the SABR functions, as is common in IR space. This means it will take steer from FXSabrSurface.
However FX has two dimensions, strike and expiry, where the SABR function solves for strike and expiry is interpolated between neighbouring FXSabrSmiles using total linear variance.

IRVol has three dimensions; strike, expiry, and tenor. The plan is likely to construct IRSabrSmile, IRSabrSurface and IRSabrCube, where the expiry and tenor will have some interpolation scheme and the Cube is essentially determined via layered (and interpolated) Surfaces.

Rateslib 2.5 which has been a lot of hidden development since August will be released in a few weeks hopefully and then IR Vol is one of the new developments after that.

[iamorlando]

Thanks!
I am just now seeing this and it all sounds reasonable. I did some rates option work recently and organized some of my Monte Carlo functionality into rateslib, changes here:
I did not want to design things in a vacuum so the functionality is mostly an island, but if interested I would love to work on connecting it to rateslib, please let me know if this is of interest.

[attack68]

Hi, I have had a look and I would like to circle back to this if I may a touch later. Maybe you can connect to me on linkedin and we chat exchange email and chat directly. I will be releasing 2.5.dev0 very shortly and with that in place it provides a good opportunity to develop these new objects.