QuantLib / Bugs / #96 Swaptions pricing in G2 model

#96 Swaptions pricing in G2 model

Milestone: None

Status: closed-out-of-date

Owner: nobody

Labels: None

Priority: 5

Updated: 2017-12-06

Created: 2009-07-23

Creator: sk77

Private: No

The swaptions prices produced by analytical formula and by tree methods are significantly different for G2 model. The attached file is a slight modification of BermudanSwaption example from QuantLib distribution. I have run it with various number of time steps in the tree (I would recommend 72 or more). The analytical and numerical (tree) prices are close enough for Hull-White model, but they are significantly different for G2 and Cox-Ingersoll-Ross. Do you have an idea what could be the reason for it?

Discussion

sk77 - 2009-07-23

SwaptionValuation.cpp

If you would like to refer to this comment somewhere else in this project, copy and paste the following link:

Luigi Ballabio - 2017-12-06

status: open --> closed-out-of-date

Group: -->
If you would like to refer to this comment somewhere else in this project, copy and paste the following link:

Swaptions pricing in G2 model

Group

Searches

Help

#96 Swaptions pricing in G2 model

Discussion