Re: Re: Infinite calculation while calibrating 2F model...

Posted by Sadruddin Rejeb-3 on Apr 15, 2002; 4:20am
URL: http://quantlib.414.s1.nabble.com/Infinite-calculation-while-calibrating-2F-model-tp1975p1976.html

Hi,

> 1) The BlackScholesProcess class's drift function returns -r*x. Shouldn't
> this be just r?
Copy and paste error... shame on me.
Well, actually it is (r - \sigma^2/2), because I had in mind the process of
ln(S) under risk-neutral measure. It is fixed now.
 
> 2) For your Fitting parameter (CIR class), the formula for the value()
> function differs greatly from that of Damiano/Brigo-2001  pg93 (3.77).
> However I just observed this by eye and thus you may have simplified the
> formula..
I ran some tests a while ago, and I'm quite sure it showed that the formula
is correct. If you can point out a specific error, please tell me.
(If I remember, the formula in the Damiano-Brigo book is incorrect, there is
a
2 missing).

Sad

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