Posted by
Peter Caspers-4 on
Feb 12, 2016; 6:41pm
URL: http://quantlib.414.s1.nabble.com/G2SwaptionEngine-tp17301p17304.html
by the way, the black formula is not used in the g2 swaption engine,
but rather in the swaption helper to compute the market price - so it
is also in the swaption helper where you specify the shift for
shifted-ln volatilities and later on the volatility type normal /
shifted-ln
Peter
On 12 February 2016 at 20:08, Peter Caspers <
[hidden email]> wrote:
> 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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