Dear Mark,
Glad to hear back from you.
> so how's it going?
Fine. I've worked on Market Models:
- cleaned up the code (checking for increasing times, avoided crashes
due to null input vectors),
- the AbcdVol and FlatVol MarketModel classes are now using
PiecewiseConstantCorrelation base class interface and while integrating
the covariance matrices I've managed to take into account the different
correlation matrices. Since it is only between two evolution times that
we can apply factor reduction, there is no more factor reduction in the
PiecewiseConstantCorrelation derived classes. Next step would be to have
a base class for volatility models as we now have for correlation
models, so that AbcdVol and FlatVol would just collapse in a single
generic class
- moved our calibration code into CapletCoterminalSwaptionCalibration
class, and took into account that factor reduction is not done in
PiecewiseConstantCorrelation aymore. The function it's still there, but
the Excel interface (i.e. results) is richer using the class with just
one iteration. The Excel workbook has been updated accordingly
I'm CC-ing
[hidden email] so that everybody is
updated
Stay in touch
Ciao -- Nando
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