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Pricing Caps with 2 Factor short rate model

Open FahdElXD opened this issue 2 years ago • 1 comments

Hi, I have a question, I am trying to evaluate Caps using TreeCapFloorEngine and G2 short rate model, what do we usually use in this case to calibrate the G2? do we use other Caps and floors or other instrument? and how can i calibrate G2? Thank you

FahdElXD avatar Jul 14 '22 08:07 FahdElXD

This issue was automatically marked as stale because it has been open 60 days with no activity. Remove stale label or comment, or this will be closed in two weeks.

github-actions[bot] avatar Sep 13 '22 02:09 github-actions[bot]

This issue was automatically closed because it has been stalled for two weeks with no further activity.

github-actions[bot] avatar Sep 27 '22 02:09 github-actions[bot]