Hello Mark,
is there any README, where the necessary steps to use the workbooks in MarketModels
are described? As far as I understand the QuantlibXL framework should be used, but just bootstrapping the yield curve and caps is still not enough to make tests working. "Calibrate to CTSMM" leads to an error message.
Than you and best regards,
Georgy
P.S. Sorry if you get this e-mail twice: it seems something went wrong with my first message.
On Tue, Oct 14, 2008 at 12:24 AM, Mark joshi
<[hidden email]> wrote:
To see some real examples, the place to look is at the EXCEL workbooks in
\quantlib\QuantLibXL\Workbooks\MarketModels
Calibration to 1 yr swaptions and 6m caplets is supported. Currently, no one has
done calibration of a 6m model to 1 yr caplets and swaptions. But this would be
an easy extension done in a similar fashion.
regards
Mark
--
Quant Job Interview Questions and Answers is now out:
www.markjoshi.com
Assoc Prof Mark Joshi
Centre for Actuarial Studies
University of Melbourne
My website is
www.markjoshi.com
-------------------------------------------------------------------------
This SF.Net email is sponsored by the Moblin Your Move Developer's challenge
Build the coolest Linux based applications with Moblin SDK & win great prizes
Grand prize is a trip for two to an Open Source event anywhere in the world
http://moblin-contest.org/redirect.php?banner_id=100&url=/
_______________________________________________
QuantLib-users mailing list
[hidden email]
https://lists.sourceforge.net/lists/listinfo/quantlib-users
-------------------------------------------------------------------------
This SF.Net email is sponsored by the Moblin Your Move Developer's challenge
Build the coolest Linux based applications with Moblin SDK & win great prizes
Grand prize is a trip for two to an Open Source event anywhere in the world
http://moblin-contest.org/redirect.php?banner_id=100&url=/_______________________________________________
QuantLib-users mailing list
[hidden email]
https://lists.sourceforge.net/lists/listinfo/quantlib-users
Locked
