Posted by
Fabrice_CBA on
Mar 12, 2008; 9:06am
URL: http://quantlib.414.s1.nabble.com/Short-rate-model-and-short-rate-process-tp5663p5665.html
Hi Tom,
Please allow a newbie to give his feeling who never used those models :
>From what I can see, the short rate models are implemented as lattices,
not as monte carlo engines (which would make sense, especially for
Bermudan swaptions).
There might be a way to use those models within a MC framework, but I
can't see how.
I'll let the big guns confirm or otherwise.
Amicalement,
Fabrice
-----Original Message-----
From:
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[mailto:
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Tommaso
Sent: Wednesday, 12 March 2008 7:41 PM
To:
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Subject: [Quantlib-users] Short rate model and short rate process
Hi Quantlib!
Sorry for my newbie question ....
Using the first part of BermudanSwaption.cpp example, I managed to
calibrate some short rate models.
I now would like to generate some (eg. 1000) paths of the short rate for
each model I've calibrated.
How can I do it ?
Thank you in advance for your help.
Best,
Tom
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