Posted by
terry leitch-2 on
Jul 18, 2016; 3:23pm
URL: http://quantlib.414.s1.nabble.com/SABR-global-versus-local-fit-tp17538p17608.html
All¹s working well. Probably build toward a push to Rquantlib on github
this week that calculates both european (via Black) and Bermudan (via
markovfunctional).
I saw your presentation on negative rates you gave in December. At the end
you mentioned normal vols were a todo for markovfunctional. Any thoughts
if/when we might see it? When it¹s available I¹ll move my interface to
take a normal vol cube for both Bermudan and Europeans as an alternative
to lognormal.
I found
On 7/7/16, 1:38 PM, "Peter Caspers" <
[hidden email]> wrote:
>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
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