Re: call-put parity in G2++

Posted by sarpkacar on
URL: http://quantlib.414.s1.nabble.com/call-put-parity-in-G2-tp6236p6241.html

Hi all,

 

The implementation of G2++ swaption formula do not preserve the call-put parity.  I have been trying to find out the bug, but without any success. Have someone already noticed and/or resolved this problem?

 

Regards,

Sarp Kaya

 

On Thu, Sep 8, 2011 at 9:56 PM, SK A <[hidden email]> wrote:

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 

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