Hello everyone,
I have some issues with
calibrating the LMM.
I’m using the file “libormarketmodel.cpp”
in test-suite and I tried to calibrate LMM cap vols with real market data and
it doesn’t fit, I still have significant errors when I call the method “calibrationError()”
of the CalibrationHelper object.
Trying also to calibrate
only with swaption vols or both (cap & swaption) in the same time aren’t
better.
I want to know if someone
succeeded in calibrating the LMM and can help me.
Thanks.
Christelle
Tran
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