Re: Piecewise constant vol and mean reversionof Hull white

Posted by Ferdinando M. Ametrano-2 on
URL: http://quantlib.414.s1.nabble.com/joint-calendar-tp2345p2355.html

Chak wrote:
>we are interested in pricing of the residual exotic
>risk [...] calibrate the skew to the exercise boundary,
got your point. Another reason to have it in QuantLib


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ciao -- Nando