G2SwaptionEngine

Posted by André de Boer on Feb 11, 2016; 10:05am
URL: http://quantlib.414.s1.nabble.com/G2SwaptionEngine-tp17301.html

Hi,

For the calibration of the G2++ model we use the G2SwaptionEngine
which makes use of the Black formula. But with the current negative
EUR interest rates we have to skip the first 4 tenors. Which method is
recommended to deal with this problem, is there a solution in the
upcoming version of QuantLib?

Regards,
André

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