Posted by
Peter Caspers on
May 11, 2010; 8:39am
URL: http://quantlib.414.s1.nabble.com/Pricing-CMS-Swap-with-HW-one-Factor-Model-tp8568p8569.html
Hi Jordi,
how do you plan to compare the adjustment in the hw model with that of
hagan's method? They will be very different unless you use the hw implied
smile in the replication method.
Apart from this, smile extrapolation, convergence and calibration to cms
swap margins is in my opinion really non-trivial. I would be interessted,
how Quantlib handles these issues in detail (never tried). If here further
development is planned, I would be happy to join.
If you want, we can compare convexity adjustments (yours computed with ql,
mine based on own code). Just provide reference date, fixing date, payment
date, cms tenor, swaption smile at fixing date, yield curve.
best, Peter
jordi100
<horst.jordan@ers
tegroup.com> An
[hidden email]
11.05.2010 09:53 et
Kopie
Thema
[Quantlib-users] Pricing CMS Swap
with HW one Factor Model
Hi
I have seen that there is the possibility to price CMS swaps with the
convexity adjustment proposed by Hagan. For testing I would like to price a
CMS with the one factor model HW model. I have seen that there is an
implementation for a Vanilla Swap (treeswapengine) but this engine requires
a Vanilla Swap. I would be glad if somebody could tell me how best to start
this project. Rewriting treeswapengine?
thanks!
Jordi
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