Posted by
Peter Caspers-4 on
Mar 30, 2016; 3:13pm
URL: http://quantlib.414.s1.nabble.com/Support-for-negative-rate-IR-derivatives-tp17369p17373.html
Hi,
> For example, are you planning on extending the functionality of the
> optionletstripper2 object or the swaptionvolcube1 object to support neg
> rates?
Yes, both caplet and swaption volatilities can be of shifted lognormal or normal type in 1.8.
> What about an interpolation scheme that has acceptable behavior when
> rates are close to 0 or negative (such as the free boundary SABR)?
There will be a shifted SABR model (with deterministic shift), that is also used by the SABR swaption cube (SwaptionVolCube1), but as far as I know nothing of the more sophisticated stuff like free boundary and mixed SABR models. I started working on the mixed SABR model by Antonov and friends some time ago, but there is only low priority on it at least from my side at the moment. From your experience, is it important to have it on top of the simple shifted SABR?
> Could you provide some guidance for when the 1.8 release is planned? Are any
> of the above objects already implemented in the GitHub master?
Everything mentioned above should be in Luigi’s master, and he is also the one who knows when 1.8 is going to be released.
Regards
Peter
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