Re: [Quantlib-users] SABR global versus local fit

[Peter C. <pca...@gm...>]

Hi Terry,

that's good. For the normal volatilities in the Markov model, I hope
to add them not too far in the future (of course I'd be happy if
someone else would do it and send a pull request).

Best Regards
Peter


On 18 July 2016 at 17:23, terry leitch <tl...@me...> wrote:
> All¹s working well. Probably build toward a push to Rquantlib on github
> this week that calculates both european (via Black) and Bermudan (via
> markovfunctional).
>
> I saw your presentation on negative rates you gave in December. At the end
> you mentioned normal vols were a todo for markovfunctional. Any thoughts
> if/when we might see it? When it¹s available I¹ll move my interface to
> take a normal vol cube for both Bermudan and Europeans as an alternative
> to lognormal.
>
>
>
> I found
>
> On 7/7/16, 1:38 PM, "Peter Caspers" <pca...@gm...> wrote:
>
>>Hi Terry,
>>
>>the Markov model was added in 1.3. There were changes to the code still
>>in 1.8, but as far as I can see the last important ones were in 1.6 (for
>>shifted lognormal volatilities), so 1.6.2 should be fine.
>>
>>Looking forward to your feedback.
>>
>>Kind Regards
>>Peter
>
>