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The Gaussian1dSwaptionEngine is a general purpose engine, originally designed for use in the Markov functional model. For the GSR and LGM instances of Gaussian1dModel we can have faster european swaption pricing though using the (existing) Gaussian1dJamshidianSwaptionEngine. The steps would be as follows:
make the zero bond option method in Gaussian1dModel virtual with a default implementation as is
overwrite this method in GSR and LGM with analytical formulas
extend the Gaussian1dJamshidianSwaptionEngine such that a correction for forward curve != discounting curve is applied (e.g. following Hagan's approach in his swaption paper)
The text was updated successfully, but these errors were encountered:
pcaspers
changed the title
improve GSR calibration speed
improve GSR / LGM calibration speed
Jan 15, 2016
This issue has been automatically marked as stale because it has not had recent activity. It will be closed if no further activity occurs. Thank you for your contributions.
The Gaussian1dSwaptionEngine is a general purpose engine, originally designed for use in the Markov functional model. For the GSR and LGM instances of Gaussian1dModel we can have faster european swaption pricing though using the (existing) Gaussian1dJamshidianSwaptionEngine. The steps would be as follows:
The text was updated successfully, but these errors were encountered: