Re: [Quantlib-users] Two factor model

[Philippe H. <phi...@ex...>]

Bumping this in case anyone knows.

Regards

Philippe Hatstadt
+1-203-252-0408


> On Dec 11, 2023, at 11:06 AM, philippe hatstadt <pha...@ma...> wrote:
> 
> Is there any QL 2 factor rate model implementation that has been exposed to Python? I am working on a CMBS Pool OAS model and need the ability to de-correlate short rates and long rates.
> But I would also need a calibration module to swaption vols and some way to calibrate the correlation parameters to match correlation matrices or rate changes by tenors.
> 
> Please let me know.
> 
> Regards
> 
> Philippe Hatstadt
> +1-203-252-0408
> 

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