Re: [Quantlib-users] Seeking help on Swaption model inputs

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

Hi Christofer,

there are some explanations

https://ssrn.com/abstract=2183721

On Fri, 25 Sep 2020 at 20:54, Christofer Bogaso
<bog...@gm...> wrote:
>
> Hi,
>
> I have raised this question elsewhere, however failed to generate any
> feedback, so hoping experts here may provide some good insights.
>
> I was looking at the input parameters of the class -
> Gaussian1dSwaptionEngine, as in
> https://rkapl123.github.io/QLAnnotatedSource/d2/db3/class_quant_lib_1_1_gaussian1d_swaption_engine.html
>
> In this definition, there are few parameters -
>
> integrationPoints
> stddevs
> extrapolatePayoff
> flatPayoffExtrapolation
> probabilities
>
> Can you please help me to understand the meaning of these parameters?
> Any link to the technical specification of this implementation will be
> highly helpful.
>
> Thanks for your help and time.
>
>
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