Menu
▾
▴
[Quantlib-users] G2++ calibration with some parameters fixed
|
From: Yamada K. <mad...@gm...> - 2022-09-30 04:52:45
|
<html xmlns:o="urn:schemas-microsoft-com:office:office" xmlns:w="urn:schemas-microsoft-com:office:word" xmlns:m="http://schemas.microsoft.com/office/2004/12/omml" xmlns="http://www.w3.org/TR/REC-html40"><head><meta http-equiv=Content-Type content="text/html; charset=utf-8"><meta name=Generator content="Microsoft Word 15 (filtered medium)"><style><!-- /* Font Definitions */ @font-face {font-family:"Cambria Math"; panose-1:2 4 5 3 5 4 6 3 2 4;} @font-face {font-family:"Yu Gothic"; panose-1:2 11 4 0 0 0 0 0 0 0;} @font-face {font-family:"MS PGothic"; panose-1:2 11 6 0 7 2 5 8 2 4;} @font-face {font-family:"Yu Gothic"; panose-1:2 11 4 0 0 0 0 0 0 0;} @font-face {font-family:"MS PGothic";} /* Style Definitions */ p.MsoNormal, li.MsoNormal, div.MsoNormal {margin:0mm; text-align:justify; text-justify:inter-ideograph; font-size:10.5pt; font-family:"游ゴシック",sans-serif;} .MsoChpDefault {mso-style-type:export-only;} /* Page Definitions */ @page WordSection1 {size:612.0pt 792.0pt; margin:99.25pt 30.0mm 30.0mm 30.0mm;} div.WordSection1 {page:WordSection1;} --></style></head><body lang=JA link=blue vlink="#954F72" style='word-wrap:break-word'><div class=WordSection1><p class=MsoNormal><span lang=EN-US>Hi all,</span></p><p class=MsoNormal><span lang=EN-US>This is my first e-mail.</span></p><p class=MsoNormal><span lang=EN-US><o:p> </o:p></span></p><p class=MsoNormal><span lang=EN-US>I would like to calibrate G2++ model with some parameters (for example, correlation) fixed at some values. Is this possible by QuantLib Python?</span></p><p class=MsoNormal><span lang=EN-US>I found the similar e-mail in the archives, but I’m not clear and expect some updates in QuantLib Python since the e-mail was sent.</span></p><p class=MsoNormal><span lang=EN-US><o:p> </o:p></span></p><p class=MsoNormal><span lang=EN-US>Thank you,</span></p><p class=MsoNormal><span lang=EN-US>Kiichi</span><span lang=EN-US style='font-size:12.0pt;font-family:"ＭＳ Ｐゴシック",sans-serif'><o:p></o:p></span></p></div></body></html> |
