Re: Option Adjusted Spread & BDT model

Posted by Erica on May 03, 2016; 6:55am
URL: http://quantlib.414.s1.nabble.com/Option-Adjusted-Spread-BDT-model-tp17430p17432.html

Hi Peter,
thanks a lot for your reply.
I know that the OAS formula is not implemented yet in quanlib but what I need is to build a binomial tree model and calibrate it. (and it seems that this is implemented for BK model)
After the tree's calibration, the computation of OAS and effective figures should not be really difficult.
I will try to implement something using BK model and I hope to find what I'm looking for :-)
Regards
Erica