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non-constant volatility parameters G2++

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non-constant volatility parameters G2++

André de Boer
15 posts
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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Re: non-constant volatility parameters G2++

Luigi Ballabio
3579 posts
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

------------------------------------------------------------------------------
Dive into the World of Parallel Programming. The Go Parallel Website,
sponsored by Intel and developed in partnership with Slashdot Media, is your
hub for all things parallel software development, from weekly thought
leadership blogs to news, videos, case studies, tutorials and more. Take a
look and join the conversation now. http://goparallel.sourceforge.net/
_______________________________________________
QuantLib-users mailing list
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Dive into the World of Parallel Programming. The Go Parallel Website,
sponsored by Intel and developed in partnership with Slashdot Media, is your
hub for all things parallel software development, from weekly thought
leadership blogs to news, videos, case studies, tutorials and more. Take a
look and join the conversation now. http://goparallel.sourceforge.net/
_______________________________________________
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