Posted by
Ferdinando Ametrano-3 on
Jun 08, 2004; 3:38am
URL: http://quantlib.414.s1.nabble.com/G2-revisited-tp2986p2993.html
Hi Mike,
thank you very much for your contribution.
>I've seen the copyright notices in the header files, but don't know what that
>means e.g. in open source software. I don't know how important it is.
It's very important. As the author you own the copyright of the code you've
written, even if you do nothing to this effect. As copyright holder you
have to tell the world under which license agreement your code can be used.
Since you've sent the code to the QuantLib mailing list I've assumed you
will adopt the QuantLib licence (
http://www.quantlib.org/license.html) and
I need a public confirmation about it. If you would pick up a different
licence your code couldn't be merged in QuantLib.
The code you've contributed is now in the QuantLib CVS "Copyright (C) 2004
Mike Parker", licensed with the QuantLib license.
BTW have you tried to use Lattice2D to price Bermudan Swaption using a
calibrated G2?
If you check out the current QuantLib CVS you might want to look at the
Bermudan example and try to integrate G2 Bermudan pricing.
That Bermudan example also shows what might be a problem about G2, or
simplex optimization, or simply about my understanding :(
The G2 model has 5 parameters and it is calibrated to 5 European swaptions
so I was expecting perfect calibration (zero errors), but this is not the
case...
>is anyone looking at implementing Libor market models ?
Nobody I know of.
ciao -- Nando