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From: Peter C. <pca...@gm...> - 2022-10-08 10:57:38
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Hi Mark 1) no - the model and the engine do not interoperate 2) there is no GSR engine for American swaptions, for Bermudan swaptions you can use Gaussian1dSwaptionEngine, Gaussian1dNonstandardSwaptionEngine Kind Regards Peter On Fri, 7 Oct 2022 at 16:50, Mark <gr...@gm...> wrote: > > Hi, > > I used GSR model with Gaussian1dSwaptionEngine for bermudan swaption, I can get some result, but if I used GSR together with TreeSwaptionEngine, I will get below error. So I have two questions: > 1) are we able to use GSR together with TreeSwaptionEngine? > 2) Is there some particular swaption engine for Bermudan swaption and American swaption compatible with GSR model? > > Thanks, > Mark > > > TypeError: Wrong number or type of arguments for overloaded function 'new_TreeSwaptionEngine'. > Possible C/C++ prototypes are: > TreeSwaptionEngine::TreeSwaptionEngine(ext::shared_ptr< ShortRateModel > const &,Size,Handle< YieldTermStructure > const &) > TreeSwaptionEngine::TreeSwaptionEngine(ext::shared_ptr< ShortRateModel > const &,Size) > TreeSwaptionEngine::TreeSwaptionEngine(ext::shared_ptr< ShortRateModel > const &,TimeGrid const &,Handle< YieldTermStructure > const &) > TreeSwaptionEngine::TreeSwaptionEngine(ext::shared_ptr< ShortRateModel > const &,TimeGrid const &) > TreeSwaptionEngine::TreeSwaptionEngine(Handle< ShortRateModel > const &,Size,Handle< YieldTermStructure > const &) > TreeSwaptionEngine::TreeSwaptionEngine(Handle< ShortRateModel > const &,Size) > > _______________________________________________ > QuantLib-users mailing list > Qua...@li... > https://lists.sourceforge.net/lists/listinfo/quantlib-users |