Re: Option Adjusted Spread & BDT model
Posted by
Luigi Ballabio on
May 03, 2016; 7:11am
URL: http://quantlib.414.s1.nabble.com/Option-Adjusted-Spread-BDT-model-tp17430p17433.html
Just a note: the BK model as implemented in QuantLib uses a trinomial tree, not a binomial one. For an example of calibration, see the Examples/BermudanSwaption folder in the QuantLib distribution.
Luigi
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
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