Posted by
Toyin Akin-4 on
URL: http://quantlib.414.s1.nabble.com/Re-bermudan-swaption-simplex-tp2586p2595.html
Hi Sad,
Does this apply to the CIR+ model also?
If not, what scenarios does it work under?
Best Regards,
Toyin Akin.
----- Original Message -----
From: "Sad" <
[hidden email]>
To: <
[hidden email]>
Sent: Tuesday, July 15, 2003 2:01 PM
Subject: Re: [Quantlib-users] Re: bermudan swaption, simplex
> 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
>
>
> -------------------------------------------------------
> This SF.Net email sponsored by: Parasoft
> Error proof Web apps, automate testing & more.
> Download & eval WebKing and get a free book.
> www.parasoft.com/bulletproofapps1
> _______________________________________________
> Quantlib-users mailing list
>
[hidden email]
>
https://lists.sourceforge.net/lists/listinfo/quantlib-users