RE: [Quantlib-dev] RE: R: Credit default pricing / G2++ model

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URL: http://quantlib.414.s1.nabble.com/RE-Quantlib-dev-RE-R-Credit-default-pricing-G2-model-tp4114.html

Hi Toyin,
as you said, the procedure is the one described in Chapter 11 of the Brigo-Mercurio book: I think you should model the two curves using 2 different G2 models.
The problem is that when pricing options with bermudan features you need trees: every G2 model implies a tridimensional tree but I think that you cannot let the two processes evolve on the same tree since each tree (and in particular the number of nodes at each time step) depends on the model parameters.
I don't know which is the best way to proceed, but I'll think a little bit about that.
Let me know if you find some hint.

Marco
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