Re: Shifted Log Normal in QuantLib XL

Posted by Sparviero on May 07, 2015; 4:07pm
URL: http://quantlib.414.s1.nabble.com/Shifted-Log-Normal-in-QuantLib-XL-tp16511p16548.html

Thanks Luigi.

 

I can see the field "displacment" in both the qlBlackCapFloorPricingEngine and qlBlackSwaptionEngine.

Maybe this is the shift  to get a shifted-Black engine or I'm making a mistake?

 

Regards,

 

Iacopo

 

2015-05-07 16:59 GMT+02:00 Luigi Ballabio [via QuantLib] <[hidden email]>:

Some support has been added recently (see <https://github.com/lballabio/quantlib/pull/167> and <https://github.com/lballabio/quantlib/pull/216>) but it hasn't made it into a release yet. However, that's only on the C++ side. So far there has been no work to export this to QuantLibXL, as far as I know.

Luigi

On Tue, Apr 21, 2015 at 7:58 PM, Sparviero <[hidden email]> wrote:

Hi all,

I would know if anybody is working on the shifted log normal model to price
IR derivatives in QuantLibXL.
For me the goal is the pricing of structured bonds. The market is now giving
the vol and the shift to put in a shifted log normal model both for the CF
and Swpt Surface.
I would know if there is a way to use a shifted LN model in QuantLibXL, or
something that can take into account negative rates (maybe a Normal one?),
to price Cap&Floor and Swaptions.

Many thanks,

Iacopo



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