Re: [Quantlib-users] QuantLib-users Digest, Vol 212, Issue 9

[GESI L. <ge...@gm...>]

Unsubscribe

On Fri, Jan 12, 2024, 5:19 AM <qua...@li...>
wrote:

> Send QuantLib-users mailing list submissions to
>         qua...@li...
>
> To subscribe or unsubscribe via the World Wide Web, visit
>         https://lists.sourceforge.net/lists/listinfo/quantlib-users
> or, via email, send a message with subject or body 'help' to
>         qua...@li...
>
> You can reach the person managing the list at
>         qua...@li...
>
> When replying, please edit your Subject line so it is more specific
> than "Re: Contents of QuantLib-users digest..."
> Today's Topics:
>
>    1. Re: Two factor model (Luigi Ballabio)
>
>
>
> ---------- Forwarded message ----------
> From: Luigi Ballabio <lui...@gm...>
> To: Philippe Hatstadt <phi...@ex...>
> Cc: philippe hatstadt <pha...@ma...>,
> qua...@li...
> Bcc:
> Date: Fri, 12 Jan 2024 10:03:59 +0100
> Subject: Re: [Quantlib-users] Two factor model
> 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
>>
> _______________________________________________
> QuantLib-users mailing list
> Qua...@li...
> https://lists.sourceforge.net/lists/listinfo/quantlib-users
>