Re: Re: bermudan swaption, simplex

Posted by Sadruddin Rejeb-4 on Jul 15, 2003; 7:01am
URL: http://quantlib.414.s1.nabble.com/Re-bermudan-swaption-simplex-tp2586p2594.html

Hello everyone,

On Thursday 10 July 2003 11:51, Luigi Ballabio wrote:
> Sad, may you step in? What was the status of two-factor models?
Well, if you want these models to work, you will have to dig into the dirt!
Basically, G2++ was just here to see if multi-factor short-rate models can
integrate into the current framework. It was hardly numerically tested at
all.

Regards,
Sad