G2++ calibration on swaptions

[aincze]

Dear all,

 I would like to know if it is possible to give in input to G2++ calibration some guess for the 5 model parameters and also which are the critical parameters that influence convergence and search for minimum.
Here below, pieces of code I use for calibration:

****
void calibrateModel(
          const boost::shared_ptr<ShortRateModel>& model,
          const std::vector<boost::shared_ptr<CalibrationHelper> >& helpers) {

    LevenbergMarquardt om;
    model->calibrate(helpers, om,
                     EndCriteria(800, 400, 1.0e-15, 1.0e-15, 1.0e-15));

    // Output the implied Black volatilities
    for (Size i=0; i<numRows; i++) {
       for (Size j=0; j<numCols; j++){
        Size k = i*numCols + j;
        Real npv = helpers[k]->modelValue();
        Volatility implied = helpers[k]->impliedVolatility(npv, 1e-8,
                                                           1000, 0.0005, 1.0);
        Volatility diff = implied - swaptionVols[k];

        std::cout << swaptionMaturitiesValues[i] << "x" << swapLenghts[j]
                  << std::setprecision(5) << std::noshowpos
                  << ": model " << std::setw(7) << io::volatility(implied)
                  << ", market " << std::setw(7)
                  << io::volatility(swaptionVols[k])
                  << " (" << std::setw(7) << std::showpos
                  << io::volatility(diff) << " " << io::volatility(diff/swaptionVols[k])
                  << std::noshowpos << ")\n";
       }          
    }
}


....

 Linear l;
        boost::shared_ptr<YieldTermStructure> curve(
                 new InterpolatedZeroCurve<Linear>(nodes, zcrates, dc30360, l));
                RelinkableHandle<YieldTermStructure> rhTermStructure;
        rhTermStructure.linkTo(curve);
               
               
     
       
                boost::shared_ptr<IborIndex> indexSixMonths(new
            Euribor3M(rhTermStructure));

                std::vector<boost::shared_ptr<CalibrationHelper> > swaptions;

        // List of times that have to be included in the timegrid
        std::list<Time> times;

        Size i;
        for (i=0; i<numRows; i++) {
                for (Size j=0; j<numCols; j++){  
            Size k = i*numCols + j;
            boost::shared_ptr<Quote> vol(new SimpleQuote(swaptionVols[k]));
            swaptions.push_back(boost::shared_ptr<CalibrationHelper>(new
                SwaptionHelper(swaptionMaturities[i],
                               Period(swapLenghts[j], Years),
                               Handle<Quote>(vol),
                               indexSixMonths,
                               indexSixMonths->tenor(),
                               indexSixMonths->dayCounter(),
                               indexSixMonths->dayCounter(),
                               rhTermStructure)));  
            swaptions.back()->addTimesTo(times);
          }  
        }

        // Building time-grid
        TimeGrid grid(times.begin(), times.end(), 30);


        // defining the model
        boost::shared_ptr<G2> modelG2(new G2(rhTermStructure));

        // model calibration

        std::cout << "G2 (analytic formulae) calibration" << std::endl;
        for (i=0; i<swaptions.size(); i++)
            swaptions[i]->setPricingEngine(boost::shared_ptr<PricingEngine>(
                new G2SwaptionEngine(modelG2, 6.0, 20)));

        calibrateModel(modelG2, swaptions);

thank you in advance.

Andrei