Hello,Could anyone help me on this problem:Where does the difference between G2++ analytical and G2++ tree pricing of swaptions (QuantLib) come from ?(difference around 10-15 bp)Thanks a lot.

Actually, my goal is to validate a two factor model Tree by first pricing vanilla instruments.If these instruments can not be replicated accurately by the Tree, the quality of it can be doubtful. Thx.

<t>Hi,Concerning the pricing of swaptions using G2 analytical formula's and pricing numerically in a G2-2 dimensional tree (x,y,t) taken from QuantLib, the gap between prices (analytic - numeric) is around 10-15 bp in average on a set of coterminal ATM swaptions 10Y.With a HullWhite 1 Factor Tree, t...

<t>Hi,Concerning the pricing of swaptions using G2 analytical formula's and pricing numerically in a G2-2 dimensional tree (x,y,t) taken from QuantLib, the gap between prices (analytic - numeric) is around 10-15 bp in average on a set of coterminal ATM swaptions 10Y.With a HullWhite 1 Factor Tree, t...

We try to compile quantlib in an Unix environment. It looks more difficult than in the windows one in which it is straight forward. Do you have any recommandation/help ?RegardsC

<t>Mutley, Doublebarrier,If I understand well, there are two proposals :* interpolation on cap price along a strike* interpolation on caplet variance (forward-forward volatility) along a strikeI have several questions :* do you first clean your inputs from the broker market ? how is it done ?* do yo...

In the early stage of the discussion you mention Cheyette and Ritchken models. Do you recommend any particular papers covering the practical aspects of the implementation of those models. RegardsC

<t>Hello,I am writing C++ code in Studio .Net and have created a DLL.Now, I would like to convert it into a XLL, so I can use the add-in functionality of Excel to get the C++ functions in Excel 2000.Can someone bring me some information to do it easily? What are the specific declarations for that? H...

<t>Sorry to bother you for a basic question.I just download quantlib and try to compile the project (I am not a C++ specialist).I use Microsoft Visual C++ 6.0.I open Quantlib.dsw.I go to Build - Rebuild AllI get the error message : c:\...\ql\qldefines.hpp(26) : fatal error C1083 : cannot open includ...

<t>I first best-fit on the calibration basket to get (a,s) constant and then keep a to bootstrap and to get s(i).When I do that for a one-factor model and when I consider short-term underlying (6m in case of a caplet for example) the quality of the best-fit is poor and the graph of s(i) looks errati...

<t>Hi domilar04,The value Jmax=0.184/(a*dt) is calculated so that you can switch from a "(up/stable, down) configuration" to a "(stable, one up/down, two up/down) configuration" and still getting positive probability of transition. It is important to switch as quick as possible to that configuration...

If I understand well, you allow jumps in the slopes at the nodes. Are you not facing rpoblems when you price digital options (price = Nd2+vega*slope) ?RegardsCalculator

<t>I wonder if it exists extension of the brownian bridge technics covering :a) multi-assetb) probability to stay in a range for a single assetFor a) I am currently trying the following idea : simulate correlated assets on long time steps and then I consider that the ways they reach the final point ...

Any paper on a implementation using lattice ?

We have a lattice model for HJM 1 factor. We want to check the volatility in the tree. We try :E (r^2) - E(r)^2 with expectation including discount factor.We compare that result to DF^2 * F^2 * vol^2 * tbut both results are different. Why ?RegardsC