I have found volatility in the black model for swaption for different maturity (1-2-3-6-9M, 1Y, 18M, 2-10Y, 15-20-25-30Y) and Tenor (1-10Y, 15-20-25-30Y). Now I need another values (Maturity: 2, Tenor: 12).
I work with Excel without add-ins, I tried linear interpolation between (2,10) and (2,15), but I have some doubt on this method. I know some advanced inteprolation techniques (spline) in 2 dimension wich I could use for a given maturity, but it could take some time to implement a bicubic spline interpolation method.
I could also use a (Maturity,Tenor) Interpolation, but I have some odd values for short maturity/short tenor. I would like to remove these " outliers". There is only discussion on advanced volatility interpolation for option.
What would be a reliable/fast method to interpolate Volatility(Maturity,Tenor) ?
I don't need a generic interpolation method but some suggestion on how to improve them for volatility interpolation, or a more complex interpolation method (not too complex) wich has given some good results.
Here are my data so you could see what I am doing, the graph is a 1D cubic interpolation on maturity (step 1/12) then on tenor (step 1).