Posted by
Peter Caspers-4 on
Jul 07, 2016; 4:27pm
URL: http://quantlib.414.s1.nabble.com/SABR-global-versus-local-fit-tp17538p17587.html
Hi Terry,
the Markov model was added in 1.3. There were changes to the code still in 1.8, but as far as I can see the last important ones were in 1.6 (for shifted lognormal volatilities), so 1.6.2 should be fine.
Looking forward to your feedback.
Kind Regards
Peter
> On 07 Jul 2016, at 16:05, terry leitch <
[hidden email]> wrote:
>
> Peter,
> I’m looking at adding Bermudan capability to the SABR and I believe this is available through markovfunctional. The problem is I am constrained right now by the version of quantlib available at CRAN which currently is 1.6.2 . I have not been able to determine when the markovfunctional was released so I was wondering if you could help me understand the limits and capabilities available in that release?
>
> Terry
>> On Jun 28, 2016, at 2:07 PM, Peter Caspers <
[hidden email]> wrote:
>>
>> Hi Terry,
>>
>> that sounds good. Thanks for coming back with your results.
>>
>> The app looks nice as well.
>>
>> Best Regards
>> Peter
>>
>>
>> On 28 June 2016 at 17:44, terry leitch <
[hidden email]> wrote:
>>> Peter,
>>> I got the vol surface up and running. I fit about 1500 expiration, tenor,
>>> strike combos. Only ones that do not converge are the 6M into 2Y and the
>>> 1Y into the 1Y, so 2 out of 70 expiration/tenor combos. Once I account for
>>> curve differences, vol interpolation works great and see maybe a vol point
>>> difference at deep OTM. I get value differences, but these could be due to
>>> the curve issues. Overall very happy with it.
>>>
>>> I wrote a shinyapp that I will make available with the rquantlib as an
>>> example when I release. A screenshot of the current version is included.
>>>
>>> Best,
>>> Terry
>>>
>>>>
>>>
>
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