Bugs item #2826065, was opened at 2009-07-23 17:49
Message generated for change (Tracker Item Submitted) made by sk-77
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Category: None
Group: None
Status: Open
Resolution: None
Priority: 5
Private: No
Submitted By: sk77 (sk-77)
Assigned to: Nobody/Anonymous (nobody)
Summary: Swaptions pricing in G2 model
Initial Comment:
The swaptions prices produced by analytical formula and by tree methods are significantly different for G2 model. The attached file is a slight modification of BermudanSwaption example from QuantLib distribution. I have run it with various number of time steps in the tree (I would recommend 72 or more). The analytical and numerical (tree) prices are close enough for Hull-White model, but they are significantly different for G2 and Cox-Ingersoll-Ross. Do you have an idea what could be the reason for it?
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