Patches item #3555090, was opened at 2012-08-07 04:43
Message generated for change (Tracker Item Submitted) made by miemiec
You can respond by visiting:
https://sourceforge.net/tracker/?func=detail&atid=312740&aid=3555090&group_id=12740Please note that this message will contain a full copy of the comment thread,
including the initial issue submission, for this request,
not just the latest update.
Category: None
Group: None
Status: Open
Resolution: None
Priority: 5
Private: No
Submitted By: Andre Miemiec (miemiec)
Assigned to: Nobody/Anonymous (nobody)
Summary: Irregular Swaption Pricing Engine
Initial Comment:
This code implements the method of Hunt / Kennedy (Finance Stochast. 2, 275–293 (1998)) to find the price of a irregular european swaption;
For getting the code running one has to do some additional work on setting up the instruments expected, i.e. an irregular swap and an irregular swaption. The irregular swap shall be set up by using appropriate legs. Legs are used because here the irregular features can be specified easily. Therefore it is basically derived from the swap and only altered in respect of adding the ususal Payer/Receiver specification.
For the same reason the swaption instrument must be alteres to make it working with this particular type of swap.
----------------------------------------------------------------------
You can respond by visiting:
https://sourceforge.net/tracker/?func=detail&atid=312740&aid=3555090&group_id=12740------------------------------------------------------------------------------
Live Security Virtual Conference
Exclusive live event will cover all the ways today's security and
threat landscape has changed and how IT managers can respond. Discussions
will include endpoint security, mobile security and the latest in malware
threats.
http://www.accelacomm.com/jaw/sfrnl04242012/114/50122263/_______________________________________________
QuantLib-dev mailing list
[hidden email]
https://lists.sourceforge.net/lists/listinfo/quantlib-dev
Locked
