Re: call-put parity in G2++

Posted by sarpkacar on
URL: http://quantlib.414.s1.nabble.com/call-put-parity-in-G2-tp6236p6240.html

Of course I would gladly contribute. At a first glance the OrnsteinUhlenbeckProcess class has to be changed so that it can deal with time dependent level, since in the formula that we derived the mean level is time dependent.

 

Could you help me to reimplement this class with the desired property?

 

 

On Mon, Sep 12, 2011 at 2:34 PM, Ferdinando Ametrano <[hidden email]> wrote:

Thank you Sarp

I'm afraid I cannot really help you, but surely I would appreciate if
you can figure out what is going on, especially if it is an
implementation bug or the closed formula's approximation error

Are you considering to contribute your G2++ implementation in QL?

On Mon, Sep 12, 2011 at 1:10 PM, SK A <[hidden email]> wrote:
> The difference is  for 1M notional
>
> i) with the test parameters as in BermudanSwaption example 135€
>
> ii) with real market data 1622€
>
> I implemented another version of this formula, please see
> http://www.itwm.fraunhofer.de/fileadmin/ITWM-Media/Zentral/Pdf/Berichte_ITWM/2009/bericht_170.pdf.
> It preserves the put-call parity.
>
> I attached a condition under which the put-call parity for ATM swaptions
> stays valid.
>
>
>
> On Mon, Sep 12, 2011 at 11:11 AM, Ferdinando Ametrano <[hidden email]>
> wrote:
>>
>> On Thu, Sep 8, 2011 at 9:56 PM, SK A <[hidden email]> wrote:
>> > [...] 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?
>>
>> How large is the error?
>>
>> Does the formula preserve put-call parity? i.e. is it an
>> implementation bug or a closed formula approximation error? In the
>> latter case we could jut implement the call using the put value and
>> the parity constaint
>>
>> ciao -- Nando
>
>

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