Cir2++ swaption formula
Posted: August 13th, 2014, 11:14 pm
HelloI'm trying to implement a code to price swaptions with cir2++ (for calibrating purpose).I found the g2++ pricing formula " straightforward " but with the Cir2++ I don't know where to start.Which approximative formula should I use ? I found a paper in which they use Gram-Charlier expansion (cheng).But I have never had to compute swap moments ( I don't see how it has to be done).Any hint ? Thank you for your time