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Add pricing of swaptions with shifted log-normal model. #1400

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marc-henrard opened this issue Oct 26, 2016 · 0 comments
Open

Add pricing of swaptions with shifted log-normal model. #1400

marc-henrard opened this issue Oct 26, 2016 · 0 comments
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Type:Enhancement

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@marc-henrard
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This requires creating a new 'SwaptionVolatilities' which is an hybrid between 'SabrParametersSwaptionVolatilities' which has a shift but is CEV based and 'BlackSwaptionExpiryTenorVolatilities' which is log-normal based but has a shift surface.
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@jodastephen @marc-henrard