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From: Peter C. <pca...@gm...> - 2020-10-11 17:38:37
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Hi Daniel, I guess it's this one https://github.com/pcaspers/QuantLib/blob/master/ql/experimental/models/mcgaussian1dnonstandardswaptionengine.hpp And yes, I created it for my own use only and I honestly don't remember in which shape this is, probably pretty premature I'd think. It looks there is a dependency to https://github.com/pcaspers/QuantLib/blob/master/ql/experimental/models/longstaffschwartzproxypathpricer.hpp Feel free to grab the stuff from the repo and play around with it though. Thanks Peter On Thu, 8 Oct 2020 at 11:36, Daniel Lobo <dan...@gm...> wrote: > > Hi, > > I posted a similar question elsewhere, however failed to generate > enough response. > > I was looking at an article here - > https://quantlib.wordpress.com/2015/06/27/xva-for-bermudan-swaptions/#respond > > There they mentioned a specific MC engine called > MakeMcGaussian1dNonstandardSwaptionEngine. > > The use of this engine as it appears there - > > boost::shared_ptr<PricingEngine> mcEngine = > MakeMcGaussian1dNonstandardSwaptionEngine<>(gsrFixed) > .withSteps(1) // the gsr model allows for large steps > .withSamples(10000) > .withSeed(42) > .withCalibrationSamples(10000) > .withProxy(true); > > However I failed to find any such engine in the Quantlib repository. > > Could you please help me to identify this engine? > > Is it user created? In that case, how exactly should I create this > engine to price a typical swaption? > > I really appreciate your help. > > Many thanks for your time. > > > _______________________________________________ > QuantLib-users mailing list > Qua...@li... > https://lists.sourceforge.net/lists/listinfo/quantlib-users |