Re: Re: bermudan swaption, simplex
Posted by Luigi Ballabio-2 on Jul 10, 2003; 3:53am
URL: http://quantlib.414.s1.nabble.com/Re-bermudan-swaption-simplex-tp2586p2593.html
At 10:20 AM 7/10/03 +0100, Toyin Akin wrote:
>It looks like your tests have been more inensive than mine, however I could
>not get the CIR+ or G2++ models
>to work at all. Simplex seems to be the most accurate so I probably would
>not use the others.
>
>Perhaps a summary/note from the QuantLib guys to indicate whether these
>models actually do work?
>And if so, under which scenarios.
Sad, may you step in? What was the status of two-factor models?
Thanks,
Luigi