http://quantlib.414.s1.nabble.com/RE-R-Credit-default-pricing-G2-model-tp4102p4105.html
class). Or is the infrastructure only suitable for only refering to a single
>From: "Toyin Akin" <
[hidden email]>
>To:
[hidden email],
[hidden email]
>Subject: RE: [Quantlib-dev] RE: R: [Quantlib-users] Credit default pricing
>/ G2++ model
>Date: Fri, 07 Oct 2005 17:21:56 +0100
>
>
>Hi Marco,
>
>Ignore my comments on bermudan swaptions on FLT/FLT swaps where both legs
>are of the same currency. This can be defined, as you said, within a new
>class inherited from the DiscretizedOption class if pricing via the Tree.
>
>However can the same be said with FLT/FLT swaps with different currencies
>on each leg (including exchange of notionals)?
>
>Best Regards,
>Toyin akin.
>
>
>
>
>
>
>
>>From: "Toyin Akin" <
[hidden email]>
>>To:
>>
[hidden email],
[hidden email]
>>Subject: [Quantlib-dev] RE: R: [Quantlib-users] Credit default pricing /
>>G2++ model
>>Date: Fri, 07 Oct 2005 08:54:53 +0100
>>
>>
>>Hi Marco,
>>
>>I too deduced that the main implementation was on page 149, but the
>>formula for M(0,T) is on pg 144. Thus I was refering just to this piece of
>>code.
>>
>>Thankyou for the explanation. I just wanted to know where the
>>simplification came from and now I know.
>>
>>As for the pricing of Bermudan swaptions on FLT/FLT swaps, surely some
>>modifications will need to be done within the G2++ class?
>>
>>In fact you would have 2 sets of logic, one for FLT/FLT (same currencies)
>>and one for FLT/FLT (different currencies). Or am I missing something...?
>>
>>A G2++ model is perfect for pricing bermudan options on swaps, where the
>>swaps have differing currency legs.
>>
>>Thankyou again,
>>Best Regards,
>>Toyin Akin.
>>
>>>From: "Tarenghi Marco" <
[hidden email]>
>>>To: "Toyin Akin" <
[hidden email]>
>>>Subject: R: [Quantlib-users] Credit default pricing / G2++ model
>>>Date: Fri, 7 Oct 2005 09:01:17 +0200
>>>
>>>
>>>Hi Toyin,
>>>for what concerning the implementation of the G2++ model, I have tested
>>>the QuantLib functions and I think they work quite well. The formulas in
>>>G2::SwaptionPricingFunction class you are referring to are those on page
>>>149 of the Brigo-Mercurio book and not those on page 144.
>>>Anyway they use the formulas on page 144, since mux_ = -M(0,T): the fact
>>>is that the expression of mux_ is obtained using the formulas on page 144
>>>but simply setting s=0 and t=T, so that the expression simplifies a lot.
>>>
>>>I hope I have been clear enough.
>>>
>>>Also, you are right: this class can price only vanilla options.
>>>Bermudan and/or amortizing swaptions can be priced using trees, and these
>>>are available in the G2 class: what you have to do is to implement a new
>>>Swaption class which has to derive from the DiscretizedOption class.
>>>
>>>Sorry for answering directly to you and not to the mailing list but I
>>>cannot do it with my office pc...
>>>I should do it from home
>>>
>>>Best regards,
>>>Marco
>>>
>>>-----Messaggio originale-----
>>>Da:
[hidden email]
>>>[mailto:
[hidden email]]Per conto di Toyin
>>>Akin
>>>Inviato: giovedì 6 ottobre 2005 17:26
>>>A:
[hidden email];
[hidden email]
>>>Oggetto: [Quantlib-users] Credit default pricing / G2++ model
>>>
>>>
>>>
>>>Hi folks,
>>>
>>>Are there any plans to implement credit default swaps/options within
>>>QuantLib?
>>>
>>>I read somewhere, within one of the wilmott forums, that someone did
>>>actually have some working code. However I'm not too sure whether they
>>>are
>>>going to dedicate this code to the QuantLib project.
>>>
>>>I certainly would like to get a good handle on a C++ implementation of
>>>Credit derivatives as I'm pretty new to it, however I don't want to start
>>>a
>>>new credit project which could take months if someone else already has
>>>some
>>>working code.
>>>
>>>Also, I am stepping through the code of the G2++ model, comparing the
>>>math
>>>there to that of the Brigo-Mercurio book and all seems well apart from
>>>one
>>>expression that I can't get my head around.
>>>
>>>This concerns the code within the constructor of the
>>>G2::SwaptionPricingFunction class.
>>>
>>>There are expressions for mux_ and muy_ which I believe corresponds to
>>>the
>>>same expressions at the bottom of page 144.
>>>
>>>Taking just the mux_ expression, for example, I cannot match up the
>>>expressions within the book to that of the code. It's the 2nd and 3rd
>>>expressions of the formula (according to the book) that I am having some
>>>trouble matching up.
>>>
>>>Can someone confirm that the code here is correct and it's just a case of
>>>some smart mathematical manipulation (My brain has already died after
>>>validating all the other parts of the G2 model!!).
>>>
>>>Also from my analysis, it looks like we can only price options on vanilla
>>>swaptions under this G2++ implementation, no variation of notionals
>>>(amortisation), coupons, or margins (spreads). This should be possible
>>>but I
>>>believe that the limiting factor is because it is based on a SimpleSwap
>>>object which does not allow for such rich definitions of a swap.
>>>
>>>Also, does anyone know what code changes would be needed to implement a
>>>bermudan swaption on a FLT/FLT swap? I don't think that the
>>>SwaptionPricingFunction class is valid for this type of structure.
>>>
>>>Very good clean code by the way...
>>>
>>>Best Regards,
>>>Toyin Akin.
>>>
>>>
>>>
>>>
>>>
>>>DISCLAIMER:
>>>Privileged/Confidential Information may be contained in this message and
>>>in any of its attachments (the "message"). If you are not the addressee
>>>indicated in this message (or responsible for delivery of the message to
>>>such person), you may not copy or deliver this message to anyone. In such
>>>case, you should destroy this message and kindly notify the sender by
>>>reply e-mail. The contents of this message shall be understood as neither
>>>given nor endorsed by Banca Profilo S.p.A., nor Profilo Real Estate SGR
>>>S.p.A., nor Profilo Asset Management SGR S.p.A., nor Profilo Academy
>>>S.p.A.. Banca Profilo S.p.A., Profilo Real Estate SGR S.p.A., Profilo
>>>Asset Management SGR S.p.A., Profilo Academy S.p.A. do not accept
>>>liability for corruption, interception or amendment, if any, or the
>>>consequences thereof.
>>>Il presente messaggio e/o i suoi allegati (di seguito il "messaggio")
>>>possono contenere informazioni privilegiate e/o confidenziali. Se non
>>>siete i destinatari indicati nel messaggio (o persona incaricata di
>>>inoltrare il messaggio al/i destinatario/i), non potete copiare o
>>>inoltrare il messaggio ad altri e siete invitati a distruggerlo dandone
>>>informazione al mittente a mezzo e-mail. Il contenuto del presente
>>>messaggio non deve essere considerato come trasmesso o autorizzato nè da
>>>Banca Profilo S.p.A., nè da Profilo Real Estate SGR S.p.A., nè da Profilo
>>>Asset Management SGR S.p.A., nè da Profilo Academy S.p.A.. Nè Banca
>>>Profilo S.p.A., nè Profilo Real Estate SGR S.p.A., nè Profilo Asset
>>>Management SGR S.p.A., nè Profilo Academy S.p.A. si assumono alcuna
>>>responsabilità per eventuali intercettazioni, modifiche o danneggiamenti
>>>del presente messaggio e-mail e per le eventuali conseguenze.
>>
>>
>>
>>
>>-------------------------------------------------------
>>This SF.Net email is sponsored by:
>>Power Architecture Resource Center: Free content, downloads, discussions,
>>and more.
http://solutions.newsforge.com/ibmarch.tmpl>>_______________________________________________
>>Quantlib-dev mailing list
>>
[hidden email]
>>
https://lists.sourceforge.net/lists/listinfo/quantlib-dev>
>
>
>
>-------------------------------------------------------
>This SF.Net email is sponsored by:
>Power Architecture Resource Center: Free content, downloads, discussions,
>and more.
http://solutions.newsforge.com/ibmarch.tmpl>_______________________________________________
>Quantlib-dev mailing list
>
[hidden email]
>
https://lists.sourceforge.net/lists/listinfo/quantlib-dev