kp9991-git

I don't mind having a look at it... Will take a bit of time. What's the preferred path? Replace a 2d matrix by a vector of vectors, and interpolate first...

Parametric methods come with caveats typically and I see them as a different class to simple interpolation. They are usually a little slower, can have edge cases (far strikes, low...

Hi, I did a quick test of the vol surface - comparing Andearsen & Huge vs simple Black vol interpolation (without extrapolation). I used the default bilinear interpolation as well...

I'm happy to have a go at this. I recently built these curves for a validation project and encountered this problem too.

It's going to take a little more time than what I thought initially. I've added the O/N index and payment frequency, it's simple enough but I looked deeper at the...

I've pushed PRs for this (one adds the functionality in QuantLib, the other adds the ability to use this functionality from the Python layer in the SWIG project)

Hi, It's interesting - putting Bachelier into the file with the Black formula implementation is of course a counterintuitive choice but it's not a big deal. The fact that it...

I'm looking for a way to calculate a simple Bachelier price or greeks from Python

Hi, thanks but that's the point. There are indeed swaption and cap/fooor engines but no ordinary Bachelier pricing engine (whereas there's one for Black)

This one is specific to swaptions. I was interested in a more general one (@lballabio sorry, haven't had time to get on it yet but should be able to soon).