Questions about Calibration and Interpolation?

[Le Shi]

Hi guys,

 

I’m doing Binominal Tree of Short Rate now. Does anyone know how to use Quantlib to calibrate the binominal tree? Is there any classes or functions that can be used?

 

I heard about there is SPLINE interpolation in Quantlib. Where can I find it?

 

By the way, does Quantlib has class of binomial tree or trinomial tree?

 

Thank you!

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[Luigi Ballabio]

On Wed, 2011-01-05 at 09:33 -0600, Le Shi wrote:
> I’m doing Binominal Tree of Short Rate now. Does anyone know how to
> use Quantlib to calibrate the binominal tree? Is there any classes or
> functions that can be used?

For calibration of short-rate models, you can look at
Examples/BermudanSwaption.cpp and work inwards.

> I heard about there is SPLINE interpolation in Quantlib. Where can I
> find it?

<ql/math/interpolations/cubicinterpolation.hpp>

> By the way, does Quantlib has class of binomial tree or trinomial
> tree?

They're in the <ql/methods/lattices> folder.  The existing short rate
models only use trinomial trees, though.

Luigi



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