Posted by
Peter Caspers-4 on
Feb 12, 2016; 6:17pm
URL: http://quantlib.414.s1.nabble.com/G2SwaptionEngine-tp17301p17302.html
Hi André,
in 1.7 you can already use shifted lognormal swaption volatilities if
I am not mistaken. As far as I can see it, Luigi scheduled the pull
requests providing normal volatilities for 1.8. The only to do is the
extension of the CapHelper and of the implied volatility of the cap
instrument then.
Regards
Peter
On 11 February 2016 at 11:57, André de Boer <
[hidden email]> wrote:
> 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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