Re: [Quantlib-users] Two factor model

[Luigi B. <lui...@gm...>]

Hello Philippe,
    the G2 model is exported.  It can be calibrated in the same way as the
other one-factor models.

Hope this helps,
    Luigi


On Tue, Jan 9, 2024 at 4:05 PM Philippe Hatstadt <
phi...@ex...> wrote:

> 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
> >
>
> --
>
>
> 1370 Broadway, Suite 1450 | New York, NY | 10018
>
>
> <https://www.exosfinancial.com/>
> <https://www.linkedin.com/company/meetexos/about/>
>
>
> Broker-Dealer
> services offered through Exos Securities LLC, Member SIPC, FINRA. For
> important disclosures including Form CRS and Regulation BI click here
> <https://www.exosfinancial.com/general-disclosures>.
>
>
>
>
>
> Confidentiality
> Notice: The information contained in this email (including attachments) is
> only for the personal and confidential use of the sender and recipient
> named above. If the reader is not the intended recipient, you are notified
> that you have received this message in error and that any review,
> dissemination, copying or distribution is prohibited. If you have received
> this communication in error, please notify the sender immediately by
> e-mail
> and delete or destroy the original message and all copies.
>
>
> _______________________________________________
> QuantLib-users mailing list
> Qua...@li...
> https://lists.sourceforge.net/lists/listinfo/quantlib-users
>