Sparse Conv Mkt Vols


Key _Sparse Conv Mkt Vols in
Vol Curve refers to the table with the converted market vols of the swaptions listed in _Sparse Mkt Swaptions, represented as an object of type Table
The dimensionality, structure and orientation of the table's axes can be configured through the key
Implied Tables Config

Note, this table is generated ONLY IF
Sparse Conv Mkt Vols? = true

The non-ATM vols are displayed either as spreads relative to the corresponding ATM values or as absolute vols depending on the setting of the key
Impl Vols as Spreads

The vols are implied by assuming their type is defined as in
Impl Vol Spec, while the swaption prices equal the market prices calculated in _Sparse Mkt Prices based on their market vols.

Note, this is generated as soon as the contents of a Vol Curve object are displayed, provided that
Sparse Conv Mkt Vols? = true
For efficiency reasons this is never generated during the creation of a Vol Curve object as long as the object's contents are not displayed.

Note this key is prefixed by _, which indicates it is regarded as a read-only part of the object's data and therefore its associated value cannot be edited.
For that reason it does not appear as part of the input data.
It carries informational only value for the user and appears as part of its contents.
Also it completely depends on the remaining object contents and therefore is never part of the exported object's data.