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

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

Hi Christofer,

there are some explanations given in the note under the link below.

Hope that helps, if you have further questions, just post them here.

Thanks
Peter

On Fri, 25 Sep 2020 at 21:10, Peter Caspers <pca...@gm...> wrote:
>
> 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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