Re: calibrateBasket for NonstandardSwaption in python

Posted by Luigi Ballabio on Nov 13, 2015; 3:47pm
URL: http://quantlib.414.s1.nabble.com/calibrateBasket-for-NonstandardSwaption-in-python-tp16960p17068.html

You'll probably have to export the missing classes to SWIG.  Hopefully, you can use the existing .i files as a guide. Someone here can help if you get stuck.

Luigi

On Sun, Oct 25, 2015 at 7:04 AM Harvey Wu <[hidden email]> wrote:

Hi, all,

I am currently testing Bermudan swaption pricing using Gsr model using python swig binding. It seems NonstandardSwaption is not available in python. Any suggestion on how to do the calibration under python for the two modes (BasketGeneratingEngine::MaturityStrikeByDeltaGamma, and Native)?  Any pointer would be much appreciated.

Thanks!

Harvey

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