Posted by
Eric Ehlers-2 on
URL: http://quantlib.414.s1.nabble.com/Implement-Bermudan-swaption-in-QuantLibXL-tp291p292.html
Hi Hyung,
Have you seen the document below?
http://quantlib.org/quantlibaddin/extend_tutorial.htmlRegards,
Eric
===================================================
Eric Ehlers
nazcatech sprl | Brussels |
http://www.nazcatech.be* Distributed computing for pricing analytics
* Use Microsoft Excel as a client to the Grid
Quoting Hyung-Seok Hahm <
[hidden email]>:
> Hi all,
>
> I'm trying to implement Bermudan swaption in QuantLibXL.
>
> There is a swaption example, named InterestRateDerivatives.xls as one of
> the StandaloneExamples in QuantLIbXL. Plus, there is another example for
> Bermudan swaption named BermudanSwaption.cpp as one of the Quantlib
> examples.
>
> Basically what I'm trying to do is fill in the gap between these two
> examples. The problem lies in the fact that ShortRateModel and
> CalibrationHelper have not been implemented yet. To be more specific, I
> need to implement the following segment in BermudanSwaption.cpp.
>
> void calibrateModel(
> const boost::shared_ptr<ShortRateModel>& model,
> const std::vector<boost::shared_ptr<CalibrationHelper> >&
> helpers) {
>
> LevenbergMarquardt om;
> * model->calibrate(helpers, om,*
> * EndCriteria(400, 100, 1.0e-8, 1.0e-8, 1.0e-8));*
>
> // Output the implied Black volatilities
> for (Size i=0; i<numRows; i++) {
> Size j = numCols - i -1; // 1x5, 2x4, 3x3, 4x2, 5x1
> Size k = i*numCols + j;
> Real npv = helpers[i]->modelValue();
> Volatility implied = helpers[i]->impliedVolatility(npv, 1e-4,
> 100000, 0.05,
> 0.50);
> Volatility diff = implied - swaptionVols[k];
>
> std::cout << i+1 << "x" << swapLenghts[j]
> << std::setprecision(5) << std::noshowpos
> << ": model " << std::setw(7) << io::volatility(implied)
> << ", market " << std::setw(7)
> << io::volatility(swaptionVols[k])
> << " (" << std::setw(7) << std::showpos
> << io::volatility(diff) << std::noshowpos << ")\n";
> }
> }
>
> I do not have a clue how to expose model->calibrate part in QuantLibXL.
>
> I've been struggling with this for days, so any suggestion would be
> appreciatedl.
>
> Thanks.
>
> - Hyung
>
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