RE: Swaption Volatility...
Posted by
Sadruddin Rejeb-3 on
Mar 15, 2002; 7:06am
URL: http://quantlib.414.s1.nabble.com/Swaption-Volatility-tp1889p1890.html
> Could you do us a favour though (I'm on my knees), how about one example
on
> using any
> of the term structure models along with calibration. I'm sure Sad must
have
> at least some sort of
> rough test harness for this stuff. I'm itching to get my hands on it, but
> too lazy to work it out.
Sorry, but I'm far, far away until the end of next week. However, I took my
laptop
with me and had the time to make a few enhancements to the code (thanks
Marco!)
and corrected a few horrible bugs. Moreover, I've made a simple example
showing how
to calibrate the models (both analytically and numerically) and to price a
Bermudan
swaption. This should qualify the term-structure modelling framework as
0.3.0 material.
> Eventually (my favorite word too!) your term structure models should be
> applied to this stuff too.
Yes, eventually. I'm currently working on it, but don't expect it to be
included in 0.3.0.
Regards,
Sad
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