Posted by
terry leitch-2 on
Jul 07, 2016; 2:05pm
URL: http://quantlib.414.s1.nabble.com/SABR-global-versus-local-fit-tp17538p17588.html
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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