Hello. Has anybody tried to use the G2++ model in the Bermudan Swaption
example?
It works fine with HW1, HW2, and BK but the following does not work...
Handle<Model> modelG2(new G2(rhTermStructure));
swaptions.setPricingEngine(Handle<PricingEngine>(new TreeSwaption(modelG2,
grid)));
calibrateModel(modelG2, swaptions, 0.25);
bermudanSwaption.setPricingEngine(
Handle<PricingEngine>(new TreeSwaption(modelG2, 100)));
bermudanSwaption.NPV();
What am I doing wrong? I just started C++ programming and don't have much
idea if TreeSwaption class can take 2 factor models.
Please help!
Zakoian
Locked
