Release candidates

[Luigi Ballabio]

Hi all,

    release candidates for the 1.8 release are available at <https://sourceforge.net/projects/quantlib/files/QuantLib/prerelease/>. If you had some time to try them out and see how they work for you, that would be great.

Later,

    Luigi

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[t_blake]

Dear Luigi,

I have been testing some parts of the prerelease 1.8 build. Specifically, I have implemented and tested swaption pricing using the BachelierSwaptionEngine pricing engine and SwaptionVolCube2 constructed with a normal vol SwaptionVolatilityMatrix. These objects functioned as expected on my side and I succeeded in replicating BBG SWPM swaption prices to within 0.1bps.

I hope to test the normal vol optionlet stripper in the coming weeks and will let you know if this also works as expected.

Thanks for the new release,
Best regards,

TB

[Luigi Ballabio]

Great, thanks.

Luigi

On Wed, May 18, 2016 at 1:02 PM t_blake <[hidden email]> wrote:

Dear Luigi,

I have been testing some parts of the prerelease 1.8 build. Specifically, I
have implemented and tested swaption pricing using the
BachelierSwaptionEngine pricing engine and SwaptionVolCube2 constructed with
a normal vol SwaptionVolatilityMatrix. These objects functioned as expected
on my side and I succeeded in replicating BBG SWPM swaption prices to within
0.1bps.

I hope to test the normal vol optionlet stripper in the coming weeks and
will let you know if this also works as expected.

Thanks for the new release,
Best regards,

TB



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Mobile security can be enabling, not merely restricting. Employees who
bring their own devices (BYOD) to work are irked by the imposition of MDM
restrictions. Mobile Device Manager Plus allows you to control only the
apps on BYO-devices by containerizing them, leaving personal data untouched!
https://ad.doubleclick.net/ddm/clk/304595813;131938128;j
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