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Shifted Lognormal model

Joined
3/29/17
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Hi guys,

I was hoping someone could give me an advice on implementing shifted lognormal model. Ideally it should be BDT, but BK would be also fine.

Underlying code would be very much appreciated, but advice also does it!

Many thanks in advance!
 
The book by Clewlow and Strickland does BDT. It has pseudo-code. It's easy but beware of Newton Raphson initial yield 5%. Does not always work esp. for humpedIR models.

Quantlib supports BK. I have not used it.
 
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