BermudanSwaption using non flatforward YieldTermStructure
Posted by lowlyworm on Apr 29, 2009; 11:10am
URL: http://quantlib.414.s1.nabble.com/BermudanSwaption-using-non-flatforward-YieldTermStructure-tp12773.html
Hi all,
I'm trying to reproduce some calculations from Brigo and Mercurio book interest rate models - theory and practice 2nd edition. particularly the g2++ model in chapter 4. I'm using the BermudaSwaption example and have modified the data but am not understanding how to change from the FlatForward YieldTermStructure to a non-FlatForward yield term structure (using values from Fig 1.1) so i can reproduce their results. Any help would be greatly appreciated!
Thanks -Joe