Calibration Helpers

[Andre Louw-2]

Anybody out there using either Swaption or CapFloor CalibrationHelper
classes?

Luigi, can you maybe give me a few pointers on the way these were designed
to be used. It looks almost like something I could use as a "factory" for my
Swaption/CapFloors, although I'm missing a few methods, or, I'm missing the
boat completely.

André Louw
Decillion Limited - "Your Risk Is Our Domain"

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[Luigi Ballabio-2]

At 04:26 PM 4/7/03 +0200, Andre Louw wrote:
>Anybody out there using either Swaption or CapFloor CalibrationHelper
>classes?
>
>Luigi, can you maybe give me a few pointers on the way these were designed
>to be used. It looks almost like something I could use as a "factory" for my
>Swaption/CapFloors, although I'm missing a few methods, or, I'm missing the
>boat completely.

sed -e "s/Luigi/Sad/"

However, I gather they're designed like the RateHelpers---not really usable
as a factory, since they're tightly coupled with the calibration process.
Also, they might have some constraints you wouldn't want. E.g., SwapHelpers
only instantiates swaps starting spot---I expect something of this kind
also holds for calibration helpers. They might help in the sense that
inside them caps/floors and swaptions are instantiated, so you can look at
their code and figure out how to do it. But I don't think they can do more
than this.

Later,
         Luigi