Constructing Daily Term Structure

Question

I am very new to QuantLib and am trying to do Swaption Model calibration following the example here:http://gouthamanbalaraman.com/blog/short-interest-rate-model-calibration-quantlib.html

Appreciate if someone could help me with the following question:

what is model behind the implied volatility data as the input for calibration? On bloomberg there are black model and normal model. I am thinking is black model as the vol for normal model is generally much smaller.
How to feed in the term structure from the market and do the interpolation? Using Bloomberg I can get the discount factors and the zero rate for 1 week up to 50 years. How should I provide this data into the YieldTermStructureHandle function to construct my term structure?

David Duarte · Answer

You are correct. By default QuantLib expects black vols (lognormal). In the example you sent, that would be approx. 11%.
In that example, a flat forward rate is being used to build a curve object. Alternatively, you can feed market instruments (deposites, fras, swaps) to bootstrap a curve. You can check out a simple example in the post link or check out the excelent QuantLib cookbook for examples of building curves

Constructing Daily Term Structure

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