Re: Implement Bermudan swaption in QuantLibXL
Posted by
Hyung-Seok Hahm on
URL: http://quantlib.414.s1.nabble.com/Implement-Bermudan-swaption-in-QuantLibXL-tp291p296.html
Hi Eric,
CalibrationHelper/SwaptionHelper classes have been successfully exposed and I'm playing around them in Excel.
At the moment, I've push-backed 10 by 7 swaption vols in SwaptionHelper and all but one work well - what I mean is that every swaption swaptionhelper has been created/returned fine in Excel along with relevant inputs such as swaption maturities, lengths, fixed/floating daycounters, termstructure and so on.
Only one swaption vol has failed in Excel, but I don't think there is anything wrong in Excel exposing because it generates the same error under QuantLib as well. It happened with the very last swaption vol, 10 year by 10 year and it looks like somehow the swaption maturity over-stretches the termstructure and comes back with an error because extrapolate option is turned off.
All in all, it looks good so far. I'll figure out the above error and move on
(2) ShortRateModel->calibrate.
Thanks.
- Hyung
On Thu, Jul 5, 2012 at 6:57 PM, Eric Ehlers
<[hidden email]> wrote:
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.
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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