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

Posted by Toyin Akin-3 on Apr 15, 2002; 12:21am
URL: http://quantlib.414.s1.nabble.com/Infinite-calculation-while-calibrating-2F-model-tp1975p1979.html

Hi Sadruddin.

Two things in which I would like some clarification (for my own mind!!).

1) The BlackScholesProcess class's drift function returns -r*x. Shouldn't
this be just r?

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..

Regards,
Toy.