G2SwaptionEngine

[André de Boer]

Hi,

For the calibration of the G2++ model we use the G2SwaptionEngine
which makes use of the Black formula. But with the current negative
EUR interest rates we have to skip the first 4 tenors. Which method is
recommended to deal with this problem, is there a solution in the
upcoming version of QuantLib?

Regards,
André

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[Peter Caspers-4]

Hi André,

in 1.7 you can already use shifted lognormal swaption volatilities if
I am not mistaken. As far as I can see it, Luigi scheduled the pull
requests providing normal volatilities for 1.8. The only to do is the
extension of the CapHelper and of the implied volatility of the cap
instrument then.

Regards
Peter


On 11 February 2016 at 11:57, André de Boer <[hidden email]> wrote:

> Hi,
>
> For the calibration of the G2++ model we use the G2SwaptionEngine
> which makes use of the Black formula. But with the current negative
> EUR interest rates we have to skip the first 4 tenors. Which method is
> recommended to deal with this problem, is there a solution in the
> upcoming version of QuantLib?
>
> Regards,
> André
>
> ------------------------------------------------------------------------------
> Site24x7 APM Insight: Get Deep Visibility into Application Performance
> APM + Mobile APM + RUM: Monitor 3 App instances at just $35/Month
> Monitor end-to-end web transactions and take corrective actions now
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> [hidden email]
> https://lists.sourceforge.net/lists/listinfo/quantlib-users

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[Peter Caspers-4]

by the way, the black formula is not used in the g2 swaption engine,
but rather in the swaption helper to compute the market price - so it
is also in the swaption helper where you specify the shift for
shifted-ln volatilities and later on the volatility type normal /
shifted-ln
Peter

On 12 February 2016 at 20:08, Peter Caspers <[hidden email]> wrote:

> Hi André,
>
> in 1.7 you can already use shifted lognormal swaption volatilities if
> I am not mistaken. As far as I can see it, Luigi scheduled the pull
> requests providing normal volatilities for 1.8. The only to do is the
> extension of the CapHelper and of the implied volatility of the cap
> instrument then.
>
> Regards
> Peter
>
>
> On 11 February 2016 at 11:57, André de Boer <[hidden email]> wrote:
>> Hi,
>>
>> For the calibration of the G2++ model we use the G2SwaptionEngine
>> which makes use of the Black formula. But with the current negative
>> EUR interest rates we have to skip the first 4 tenors. Which method is
>> recommended to deal with this problem, is there a solution in the
>> upcoming version of QuantLib?
>>
>> Regards,
>> André
>>
>> ------------------------------------------------------------------------------
>> Site24x7 APM Insight: Get Deep Visibility into Application Performance
>> APM + Mobile APM + RUM: Monitor 3 App instances at just $35/Month
>> Monitor end-to-end web transactions and take corrective actions now
>> Troubleshoot faster and improve end-user experience. Signup Now!
>> http://pubads.g.doubleclick.net/gampad/clk?id=272487151&iu=/4140
>> _______________________________________________
>> QuantLib-users mailing list
>> [hidden email]
>> https://lists.sourceforge.net/lists/listinfo/quantlib-users

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