Hi,
Is it possible to provide some examples that covers
the calling of the following classes...
Analyticalcapfloor
Treecapfloor and
Treeswaption.
Preferably with the four different models you have
implementated thus far. HW, BK, Cox and
2F.
I've been following the progress
of the term structure models, and your implementation is one
of the cleanest I've seen. Also, what is the
possibility of providing a cashflow leg with short and
long stubs both at the front and back, rolls on
particular days would be good too. While I'm on the subject End of month and IMM
rolls would be great. CMS swaps and Delayed reset swaps would be ideal with
options on these...
I'll stop there for now...!!
Keep up the good work.
Reading your code is a joy and a great learning
experience of how things should be done...
Toyin Akin.
Locked
