Bugs item #979504, was opened at 2004-06-24 23:23
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https://sourceforge.net/tracker/?func=detail&atid=112740&aid=979504&group_id=12740Category: None
Group: None
Status: Open
Resolution: None
Priority: 5
Submitted By: Nobody/Anonymous (nobody)
Assigned to: Nobody/Anonymous (nobody)
Summary: G2 gives wrong result.
Initial Comment:
I was trying to use the newest CVS version of the G2++
model and I realized that the ATM and OTM values of the
bermudan swaption example look much lower than for the
HW and BK models.
Actually, in my opinion for a 2 factor model the
results should be more accurate than for 1 factor. So I
guess there might be still a little bug?
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