Posted by
jordi100 on
May 17, 2010; 7:59am
URL: http://quantlib.414.s1.nabble.com/Pricing-CMS-Swap-with-HW-one-Factor-Model-tp8568p8570.html
Hi Peter,
the reason why I would need to do it with HW1F is because we are evaluating the implementation of CMS in a software system (I have my own implementation in R but certain things are not as nicely implemented as in quantlib for this reason I would like to use quantlib). This system is using HW1F to price CMS (not that I would do it in this way). Comparing convexity adjustment could be a second step but of course the result would be different. When I am ready with the test set I can send you the result together with the data set.
Best regards,
Jordi
-----Ursprüngliche Nachricht-----
Von: Peter Caspers [mailto:
[hidden email]]
Gesendet: Dienstag, 11. Mai 2010 10:39
An: Jordan Horst 0382 EH
Cc:
[hidden email]
Betreff: [Quantlib-users] Antwort: Pricing CMS Swap with HW one Factor Model
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
--
View this message in context:
http://old.nabble.com/Pricing-CMS-Swap-with-HW-one-Factor-Model-tp28521031p28521031.htmlSent from the quantlib-users mailing list archive at Nabble.com.
------------------------------------------------------------------------------
_______________________________________________
QuantLib-users mailing list
[hidden email]
https://lists.sourceforge.net/lists/listinfo/quantlib-users------------------------------------------------------------------------------------------------------------------------------------------------------
WGZ BANK AG Westdeutsche Genossenschafts-Zentralbank
Sitz: Düsseldorf, Registergericht: Amtsgericht Düsseldorf, HRB 52363
Vorstand: Werner Böhnke (Vors.), Karl-Heinz Moll, Hans-Bernd Wolberg,
Uwe Berghaus (stellv.), Dr. Christian Brauckmann (stellv.), Michael Speth
(stellv.)
Vorsitzender des Aufsichtsrats: Dieter Philipp
Ueber das Internet versandte E-Mails koennen unter fremdem Namen erstellt
oder inhaltlich veraendert werden. Aus diesem Grund sind unsere als E-Mail
verschickten Nachrichten grundsaetzlich keine rechtsverbindlichen
Erklaerungen. Der Inhalt dieser E-Mail samt Anlagen ist vertraulich und u.
U. rechtlich geschuetzt. Der Inhalt ist ausschließlich an einen bestimmten
Empfaenger gerichtet. Eine Weitergabe, die Herstellung von Kopien oder der
sonstige Gebrauch durch Nichtadressaten ist nicht erlaubt.
Messages sent by e-mail can be manipulated by third parties. For this
reason our e-mail messages are generally not legally binding. This
electronic message (including any attachments) contains confidential
information and may be privileged or otherwise protected from disclosure.
The information is intended to be for the use of the intended addressee
only. Please be aware that any copy, distribution or use of the contents of
this message by any other person than the intended addressee is prohibited.
------------------------------------------------------------------------------
_______________________________________________
QuantLib-users mailing list
[hidden email]
https://lists.sourceforge.net/lists/listinfo/quantlib-users