Re: Shifted Log Normal in QuantLib XL

Posted by Peter Caspers-4 on Jun 05, 2015; 9:09am
URL: http://quantlib.414.s1.nabble.com/Shifted-Log-Normal-in-QuantLib-XL-tp16511p16629.html

you can do that in the single vanilla pricing context, but as Luigi
said you will need an integrated solution when calibrating full rate
models and so on. Also the shift size Management is not completely
trivial in all cases (e.g. for swaptions you can have different shifts
for each option / underlying Tenor pair, so you need to interpolate).
I think starting with version 1.6 there will be some Support for
shifted and normal volatilities.
Peter


On 4 June 2015 at 15:44, Mike DelMedico <[hidden email]> wrote:

> Correct me if I'm wrong, but can't you just manipulate the ATM rate and
> strike in your spreadsheet by some value before you pass it to the
> skew/pricing model?  No need for code change.  Worked fine for me back in
> the day.
>
> -Mike
>
> On May 7, 2015 10:17 AM, "Luigi Ballabio" <[hidden email]> wrote:
>>
>> 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
>>>
>>>
>>>
>>> --
>>> View this message in context:
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>>>
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>>
>>
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