http://quantlib.414.s1.nabble.com/RE-R-Quantlib-users-Credit-default-pricing-G2-model-tp10904p10905.html
are of the same currency. This can be defined, as you said, within a new
>From: "Toyin Akin" <
[hidden email]>
>To:
[hidden email],
[hidden email]
>Subject: [Quantlib-dev] RE: R: [Quantlib-users] Credit default pricing /
>G2++ model
>Date: Fri, 07 Oct 2005 08:54:53 +0100
>
>
>Hi Marco,
>
>I too deduced that the main implementation was on page 149, but the formula
>for M(0,T) is on pg 144. Thus I was refering just to this piece of code.
>
>Thankyou for the explanation. I just wanted to know where the
>simplification came from and now I know.
>
>As for the pricing of Bermudan swaptions on FLT/FLT swaps, surely some
>modifications will need to be done within the G2++ class?
>
>In fact you would have 2 sets of logic, one for FLT/FLT (same currencies)
>and one for FLT/FLT (different currencies). Or am I missing something...?
>
>A G2++ model is perfect for pricing bermudan options on swaps, where the
>swaps have differing currency legs.
>
>Thankyou again,
>Best Regards,
>Toyin Akin.
>
>>From: "Tarenghi Marco" <
[hidden email]>
>>To: "Toyin Akin" <
[hidden email]>
>>Subject: R: [Quantlib-users] Credit default pricing / G2++ model
>>Date: Fri, 7 Oct 2005 09:01:17 +0200
>>
>>
>>Hi Toyin,
>>for what concerning the implementation of the G2++ model, I have tested
>>the QuantLib functions and I think they work quite well. The formulas in
>>G2::SwaptionPricingFunction class you are referring to are those on page
>>149 of the Brigo-Mercurio book and not those on page 144.
>>Anyway they use the formulas on page 144, since mux_ = -M(0,T): the fact
>>is that the expression of mux_ is obtained using the formulas on page 144
>>but simply setting s=0 and t=T, so that the expression simplifies a lot.
>>
>>I hope I have been clear enough.
>>
>>Also, you are right: this class can price only vanilla options.
>>Bermudan and/or amortizing swaptions can be priced using trees, and these
>>are available in the G2 class: what you have to do is to implement a new
>>Swaption class which has to derive from the DiscretizedOption class.
>>
>>Sorry for answering directly to you and not to the mailing list but I
>>cannot do it with my office pc...
>>I should do it from home
>>
>>Best regards,
>>Marco
>>
>>-----Messaggio originale-----
>>Da:
[hidden email]
>>[mailto:
[hidden email]]Per conto di Toyin
>>Akin
>>Inviato: giovedì 6 ottobre 2005 17:26
>>A:
[hidden email];
[hidden email]
>>Oggetto: [Quantlib-users] Credit default pricing / G2++ model
>>
>>
>>
>>Hi folks,
>>
>>Are there any plans to implement credit default swaps/options within
>>QuantLib?
>>
>>I read somewhere, within one of the wilmott forums, that someone did
>>actually have some working code. However I'm not too sure whether they are
>>going to dedicate this code to the QuantLib project.
>>
>>I certainly would like to get a good handle on a C++ implementation of
>>Credit derivatives as I'm pretty new to it, however I don't want to start
>>a
>>new credit project which could take months if someone else already has
>>some
>>working code.
>>
>>Also, I am stepping through the code of the G2++ model, comparing the math
>>there to that of the Brigo-Mercurio book and all seems well apart from one
>>expression that I can't get my head around.
>>
>>This concerns the code within the constructor of the
>>G2::SwaptionPricingFunction class.
>>
>>There are expressions for mux_ and muy_ which I believe corresponds to the
>>same expressions at the bottom of page 144.
>>
>>Taking just the mux_ expression, for example, I cannot match up the
>>expressions within the book to that of the code. It's the 2nd and 3rd
>>expressions of the formula (according to the book) that I am having some
>>trouble matching up.
>>
>>Can someone confirm that the code here is correct and it's just a case of
>>some smart mathematical manipulation (My brain has already died after
>>validating all the other parts of the G2 model!!).
>>
>>Also from my analysis, it looks like we can only price options on vanilla
>>swaptions under this G2++ implementation, no variation of notionals
>>(amortisation), coupons, or margins (spreads). This should be possible but
>>I
>>believe that the limiting factor is because it is based on a SimpleSwap
>>object which does not allow for such rich definitions of a swap.
>>
>>Also, does anyone know what code changes would be needed to implement a
>>bermudan swaption on a FLT/FLT swap? I don't think that the
>>SwaptionPricingFunction class is valid for this type of structure.
>>
>>Very good clean code by the way...
>>
>>Best Regards,
>>Toyin Akin.
>>
>>
>>
>>
>>
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