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improve GSR / LGM calibration speed #39

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pcaspers opened this issue Jan 15, 2016 · 2 comments
Closed

improve GSR / LGM calibration speed #39

pcaspers opened this issue Jan 15, 2016 · 2 comments

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@pcaspers
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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:

  1. make the zero bond option method in Gaussian1dModel virtual with a default implementation as is
  2. overwrite this method in GSR and LGM with analytical formulas
  3. extend the Gaussian1dJamshidianSwaptionEngine such that a correction for forward curve != discounting curve is applied (e.g. following Hagan's approach in his swaption paper)
@pcaspers pcaspers changed the title improve GSR calibration speed improve GSR / LGM calibration speed Jan 15, 2016
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stale bot commented Sep 5, 2019

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.

@stale stale bot added the stale label Sep 5, 2019
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stale bot commented Oct 5, 2019

This issue has been automatically closed as stale.

@stale stale bot closed this as completed Oct 5, 2019
@lballabio lballabio removed the stale label Aug 27, 2022
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