Re: interest rate models and next release

Posted by Sadruddin Rejeb-2 on Jan 08, 2002; 8:14am
URL: http://quantlib.414.s1.nabble.com/interest-rate-models-and-next-release-tp9977p9984.html

On 08 Jan 2002 at 16:36, Ferdinando Ametrano wrote:
> What I think is really important is the interest rate model framework.
> While I haven't taken a look at Sad's latest commit yet I see that CIR+,
> BK, and HW are there, plus a g2 2factors model.
> To have BDT and HL too would be nice, but it is not really important.
> What is badly needed is documentation, namely the InterestRateModelling
> namespace documentation. Sad, do you think you can produce this in time?

No problem, the documentation should be ready by then. The g2 two factor model
isn't really usable right now, but since there are analytical formulas for
discount bond options, we could calibrate it to caps. Well... I tried and
it crashed, but I think this is because we must use a constrained optimizer
(which is not implemented yet), especially for the correlation parameter
(that should lie between -1.0 and 1.0).
BDT and HL are actually already implemented, so I should upload them to the CVS
in the near future.

Later,


--
Sad (sad dot rejeb at riskmap dot it)