Re: Implement Bermudan swaption in QuantLibXL

Posted by Eric Ehlers-2 on
URL: http://quantlib.414.s1.nabble.com/Implement-Bermudan-swaption-in-QuantLibXL-tp291p295.html

Hi Hyung,

Quoting Hyung-Seok Hahm <[hidden email]>:

> After sending the last one, I've found out that HullWhite and Vasicek
> derived from ShortRateModel have been exposed.
>
> Then the remaining part I guess is how to expose
>
> (1) CalibrationHelper class
> (2) ShortRateModel->calibrate
>
> I will follow the tutorial for template classes for (1).
>
> And I do not have a clue how to deal with (2), but think the closest
> function among already exposed is qlCTSMMCapletCalibrationCalibrate (), so
> I will try to reengineer it.
>
> In the meantime, if you have any tips, please let me know.

At first glance it looks to me like you are on the right track.  
Please let us know how it goes.

Regards,
Eric

===================================================
Eric Ehlers
nazcatech sprl | Brussels | http://www.nazcatech.be
* Distributed computing for pricing analytics
* Use Microsoft Excel as a client to the Grid


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