calibrateBasket for NonstandardSwaption in python

[Harvey Wu]

Hi, all,

I am currently testing Bermudan swaption pricing using Gsr model using python swig binding. It seems NonstandardSwaption is not available in python. Any suggestion on how to do the calibration under python for the two modes (BasketGeneratingEngine::MaturityStrikeByDeltaGamma, and Native)?  Any pointer would be much appreciated.

Thanks!

Harvey

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[Luigi Ballabio]

You'll probably have to export the missing classes to SWIG.  Hopefully, you can use the existing .i files as a guide. Someone here can help if you get stuck.

Luigi

On Sun, Oct 25, 2015 at 7:04 AM Harvey Wu <[hidden email]> wrote:

Hi, all,

I am currently testing Bermudan swaption pricing using Gsr model using python swig binding. It seems NonstandardSwaption is not available in python. Any suggestion on how to do the calibration under python for the two modes (BasketGeneratingEngine::MaturityStrikeByDeltaGamma, and Native)?  Any pointer would be much appreciated.

Thanks!

Harvey

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[Peter Caspers-4]

I guess Matthias (Groncki) has already done all this. Matthias, do you
think you can contribute it ?
Peter


On 13 November 2015 at 17:27, Luigi Ballabio <[hidden email]> wrote:

> You'll probably have to export the missing classes to SWIG.  Hopefully, you
> can use the existing .i files as a guide. Someone here can help if you get
> stuck.
>
> Luigi
>
>
>
> On Sun, Oct 25, 2015 at 7:04 AM Harvey Wu <[hidden email]> wrote:
>>
>> Hi, all,
>>
>> I am currently testing Bermudan swaption pricing using Gsr model using
>> python swig binding. It seems NonstandardSwaption is not available in
>> python. Any suggestion on how to do the calibration under python for the two
>> modes (BasketGeneratingEngine::MaturityStrikeByDeltaGamma, and Native)?  Any
>> pointer would be much appreciated.
>>
>> Thanks!
>> Harvey
>>
>> ------------------------------------------------------------------------------
>> _______________________________________________
>> QuantLib-users mailing list
>> [hidden email]
>> https://lists.sourceforge.net/lists/listinfo/quantlib-users
>
> --
>
> <http://leanpub.com/implementingquantlib>
> <http://implementingquantlib.com>
> <http://twitter.com/lballabio>
>
>
> ------------------------------------------------------------------------------
>
> _______________________________________________
> QuantLib-users mailing list
> [hidden email]
> https://lists.sourceforge.net/lists/listinfo/quantlib-users
>

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