non-constant volatility parameters G2++

[André de Boer]

Hi,

I would like to use QuantLib for the G2++ model with non-constant
volatility parameters sigma and eta (a en b parameters constant).
Can anyone help me out how to establish this. Is QuantLib already
tooled for this.

Many thanks,
André

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[Luigi Ballabio]

No, at this time G2++ only implements constant parameters.  There was an attempt to extend the Hull-White model with non-constant parameters (see <ql/experimental/shortrate/generalizedhullwhite.hpp>); you might look at that and see if the technique is applicable to the G2++ model as well.

Hope this helps,

    Luigi

On Sun, Feb 1, 2015 at 9:09 PM, André de Boer <[hidden email]> wrote:

Hi,

I would like to use QuantLib for the G2++ model with non-constant
volatility parameters sigma and eta (a en b parameters constant).
Can anyone help me out how to establish this. Is QuantLib already
tooled for this.

Many thanks,
André

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