call-put parity in G2++

Posted by sarpkacar on
URL: http://quantlib.414.s1.nabble.com/call-put-parity-in-G2-tp6236.html

Hi,

 

I modified the BermudanSwaption.cpp to test the call-put parity in G2++ model. The test fails in the closed form implementation. I compared the code and the formula in Brigo and Mercurio, it seems to be ok. Does anyone have any idea what can be going wrong?

 

Best Regards,

Sarp 

------------------------------------------------------------------------------
Doing More with Less: The Next Generation Virtual Desktop
What are the key obstacles that have prevented many mid-market businesses
from deploying virtual desktops?   How do next-generation virtual desktops
provide companies an easier-to-deploy, easier-to-manage and more affordable
virtual desktop model.http://www.accelacomm.com/jaw/sfnl/114/51426474/
_______________________________________________
QuantLib-users mailing list
[hidden email]
https://lists.sourceforge.net/lists/listinfo/quantlib-users