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

Posted by Sadruddin Rejeb-3 on Apr 12, 2002; 3:08am
URL: http://quantlib.414.s1.nabble.com/Infinite-calculation-while-calibrating-2F-model-tp1975p1978.html

Hi Toyin,

> The CIR model does calibrate, but only under one of the method types
> (numerical or analytical, I forget which!!). The error message for the
> method which does not calibrate is a bracketing root problem.
The problem should lie with the tree pricer. I've noticed some instability
with trees generated for the CIR model... I'll investigate this after 0.3.0,
since the goal for this release is just to have BK and HW working (most
standard models).

> After 30 minutes the G2 model is still calibrating.
If you calibrate on swaptions, this is normal. The only pricer that works
with the G2 model is the cap analytical pricer. Bidimensional trees are
still experimental.

> Does this imply that the work on the G2 model is as yet unfinished?
Oh yes. We need an efficient bidimensional tree (which I'm working on) and
I'm investigating an analytical swaption pricer (cf. the book of
Damiano/Brigo). So let's be patient...

Regards,
Sad

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