A couple of questions

[MAMALES, PETROS]

Hi,

        I would like to ask a couple of basic questions:

a) Is there any provision for cap/swaption smiles within the library?
b) In Model the calibration methodology is provided as a member class. Given
that the same model might have different calibrations
(typical for BGM-type models) wouldn't it make sense that the calibration
would be served by a separate class?
 
Thank you

Petros

[Luigi Ballabio-2]

Hi,
        I apologize for the delay.

On 2004.02.20 16:19, "MAMALES, PETROS" wrote:
> I would like to ask a couple of basic questions:
>
> a) Is there any provision for cap/swaption smiles within the library?

Not that I know of.

> b) In Model the calibration methodology is provided as a member  
> class. Given that the same model might have different calibrations
> (typical for BGM-type models) wouldn't it make sense that the
> calibration would be served by a separate class?

I'm not sure I understand. Ultimately, the calibration "is" the set of  
values taken by the parameters of the model. Even if the calibration  
were implemented in a separate class, it should set the parameters of  
the model. Therefore, it is not easy for a Model instance to have more  
than one calibration (it should have a set of set of parameters or  
something like it.) It is much easier to calibrate two models and  
switch between them. But maybe I misunderstood you?

Later,
        Luigi