Re: Release candidates

Posted by t_blake on May 18, 2016; 9:39am
URL: http://quantlib.414.s1.nabble.com/Release-candidates-tp17418p17460.html

Dear Luigi,

I have been testing some parts of the prerelease 1.8 build. Specifically, I have implemented and tested swaption pricing using the BachelierSwaptionEngine pricing engine and SwaptionVolCube2 constructed with a normal vol SwaptionVolatilityMatrix. These objects functioned as expected on my side and I succeeded in replicating BBG SWPM swaption prices to within 0.1bps.

I hope to test the normal vol optionlet stripper in the coming weeks and will let you know if this also works as expected.

Thanks for the new release,
Best regards,

TB