Posted by
Toyin Akin-3 on
Apr 15, 2002; 11:21am
URL: http://quantlib.414.s1.nabble.com/Infinite-calculation-while-calibrating-2F-model-tp1975p1977.html
Hi Sad,
Yep, I too noticed the addition of the 2 factor.
Well that's cleared that up.
Thanks in advance,
Toy.
----- Original Message -----
From: "Sadruddin Rejeb" <
[hidden email]>
To: <
[hidden email]>
Cc: <
[hidden email]>
Sent: Monday, April 15, 2002 11:19 AM
Subject: Re: [Quantlib-users] Re: Infinite calculation while calibrating 2F
model...
> 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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