Re: calibrateBasket for NonstandardSwaption in python

Posted by Peter Caspers-4 on Nov 13, 2015; 4:05pm
URL: http://quantlib.414.s1.nabble.com/calibrateBasket-for-NonstandardSwaption-in-python-tp16960p17070.html

I guess Matthias (Groncki) has already done all this. Matthias, do you
think you can contribute it ?
Peter


On 13 November 2015 at 17:27, Luigi Ballabio <[hidden email]> wrote:

> 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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