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Lfm HullWhite Parameterization

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François du Vignaud

Lfm HullWhite Parameterization

Hi all,

In the LfmHullWhiteParameterization classe implementation, I don't understand the following line:

lambda.push_back(std::sqrt( (var - cumVar)
/ (fixingTimes[1] - fixingTimes[0])) );

lfmhullwhiteparam.cpp (lines 80, 81)

I'm wondering if it should not be:

lambda.push_back(std::sqrt( (var - cumVar)
/ (fixingTimes[i+1] - fixingTimes[i])) );

Regards,

François

----- Original Message ----
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Today's Topics:

1. installation Quantlibaddin (taiko vic)

-----Inline Message Follows-----

Date: Wed, 17 May 2006 09:13:03 +0000 (GMT)
From: taiko vic <[hidden email]>
Subject: [Quantlib-users] installation Quantlibaddin

we hav no more problem to install quantlibAddin in Ubuntu.thanks

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Toyin Akin

RE: Lfm HullWhite Parameterization

Hi,

I believe that the implementation is assuming a constant time period for
every period and has defaulted this constant time period as the difference
between the first fixing and the second fixing times.

It assumes that there are no stub periods (true due to the way you actually
construct LFM objects based on an Index object).

It's not perfect (in the case that you may get a funny length being computed
if holidays are present within this chosen first period). This effect will
thus be applied to all periods.

Toy out.

>From: François du Vignaud <[hidden email]>
>Reply-To: François du Vignaud <[hidden email]>
>To: [hidden email]
>Subject: [Quantlib-users] Lfm HullWhite Parameterization
>Date: Thu, 18 May 2006 08:52:12 -0700 (PDT)
>
>Hi all,
>
>In the LfmHullWhiteParameterization classe implementation, I don't
>understand the following line:
>lambda.push_back(std::sqrt( (var - cumVar)
> / (fixingTimes[1] -
>fixingTimes[0])) );
>lfmhullwhiteparam.cpp (lines 80, 81)
>I'm wondering if it should not be:
>lambda.push_back(std::sqrt( (var - cumVar)
> / (fixingTimes[i+1] -
>fixingTimes[i])) );
>Regards,
>François
>
>----- Original Message ----
>From: [hidden email]
>To: [hidden email]
>Sent: Thursday, 18 May, 2006 5:39:58 AM
>Subject: Quantlib-users digest, Vol 1 #1015 - 1 msg
>
>
>Send Quantlib-users mailing list submissions to
> [hidden email]
>
>To subscribe or unsubscribe via the World Wide Web, visit
> https://lists.sourceforge.net/lists/listinfo/quantlib-users
>or, via email, send a message with subject or body 'help' to
> [hidden email]
>
>You can reach the person managing the list at
> [hidden email]
>
>When replying, please edit your Subject line so it is more specific
>than "Re: Contents of Quantlib-users digest..."
>Today's Topics:
>
> 1. installation Quantlibaddin (taiko vic)
>
>
>-----Inline Message Follows-----
>
>
>Date: Wed, 17 May 2006 09:13:03 +0000 (GMT)
>From: taiko vic <[hidden email]>
>Subject: [Quantlib-users] installation Quantlibaddin
>we hav no more problem to install quantlibAddin in Ubuntu.thanks
>
>_______________________________________________
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>[hidden email]
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Klaus Spanderen

Re: Lfm HullWhite Parameterization

Hi

the bootstrapping is an implementation of the algorithm outlined in chapter
2.1 of http://www.rotman.utoronto.ca/~amackay/fin/libormktmodel2.pdf and the
formula is the result of the assumptions made in the article.

IMO and as Toy said their assumptions make sense only if the periods are of
(more or less) equal length. Anyway market data (cap qoutes) usually used for
bootstrapping will be based on constant time periods.

cheers
Klaus

On Thursday 18 May 2006 6:24 pm, Toyin Akin wrote:

> Hi,
>
> I believe that the implementation is assuming a constant time period for
> every period and has defaulted this constant time period as the difference
> between the first fixing and the second fixing times.
>
> It assumes that there are no stub periods (true due to the way you actually
> construct LFM objects based on an Index object).
>
> It's not perfect (in the case that you may get a funny length being
> computed if holidays are present within this chosen first period). This
> effect will thus be applied to all periods.
>
> Toy out.
>
> From: François du Vignaud <[hidden email]>
>
> >Reply-To: François du Vignaud <[hidden email]>
> >To: [hidden email]
> >Subject: [Quantlib-users] Lfm HullWhite Parameterization
> >Date: Thu, 18 May 2006 08:52:12 -0700 (PDT)
> >
> >Hi all,
> >
> >In the LfmHullWhiteParameterization classe implementation, I don't
> >understand the following line:
> >lambda.push_back(std::sqrt( (var - cumVar)
> > / (fixingTimes[1] -
> >fixingTimes[0])) );
> >lfmhullwhiteparam.cpp (lines 80, 81)
> >I'm wondering if it should not be:
> >lambda.push_back(std::sqrt( (var - cumVar)
> > / (fixingTimes[i+1] -
> >fixingTimes[i])) );
> >Regards,
> >François
> >
> >----- Original Message ----
>
> From: [hidden email]
>
> >To: [hidden email]
> >Sent: Thursday, 18 May, 2006 5:39:58 AM
> >Subject: Quantlib-users digest, Vol 1 #1015 - 1 msg
> >
> >
> >Send Quantlib-users mailing list submissions to
> > [hidden email]
> >
> >To subscribe or unsubscribe via the World Wide Web, visit
> > https://lists.sourceforge.net/lists/listinfo/quantlib-users
> >or, via email, send a message with subject or body 'help' to
> > [hidden email]
> >
> >You can reach the person managing the list at
> > [hidden email]
> >
> >When replying, please edit your Subject line so it is more specific
> >than "Re: Contents of Quantlib-users digest..."
> >Today's Topics:
> >
> > 1. installation Quantlibaddin (taiko vic)
> >
> >
> >-----Inline Message Follows-----
> >
> >
> >Date: Wed, 17 May 2006 09:13:03 +0000 (GMT)
>
> From: taiko vic <[hidden email]>
>
> >Subject: [Quantlib-users] installation Quantlibaddin
> >we hav no more problem to install quantlibAddin in Ubuntu.thanks
> >
> >_______________________________________________
> >Quantlib-users mailing list
> >[hidden email]
> >https://lists.sourceforge.net/lists/listinfo/quantlib-users
>
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Toyin Akin

Calibration for the LFM parameters?

Hi Klaus,

What kind of success rate are you having after calibrating for the a, b,c, d
and rho parameters of the LFM model?

I'm finding that after calibrating to ITM caplets/floorlets/swaptions and
computing the ratio of the black (analytical) price over the calibrated
(LFM) price (basically using a modified version of your sample code within
the test directory), I get ratio values of 0.92 or less for the caplets.
Worst still for swaptions

Are you finding the same ratio values or do you suspect I've done something
wrong?

Best Regards,
Toy out.

Klaus Spanderen

Re: Calibration for the LFM parameters?

Hi Toy,

can you do me a favour and try out the more complex parametizations enclosed
in the attached tar ball? (haven't fully tested them, the tar ball also
contains the modified test case file.), This should improve the ratio
values.

And please send me the vols for your caplets. 0.92 is really low. Is it the
global minimum?

cheers
Klaus

On Tuesday 06 June 2006 11:52, you wrote:

> Hi Klaus,
>
> What kind of success rate are you having after calibrating for the a, b,c,
> d and rho parameters of the LFM model?
>
> I'm finding that after calibrating to ITM caplets/floorlets/swaptions and
> computing the ratio of the black (analytical) price over the calibrated
> (LFM) price (basically using a modified version of your sample code within
> the test directory), I get ratio values of 0.92 or less for the caplets.
> Worst still for swaptions
>
> Are you finding the same ratio values or do you suspect I've done something
> wrong?
>
> Best Regards,
> Toy out.

--
_______________________________________________________
Klaus Spanderen
Hubertustal 13f
48734 Reken (Germany)
Email: [hidden email]
(remove NOSPAM from the address)
http://www.spanderen.de

lfm.tgz (13K) Download Attachment

Toyin Akin

Re: Calibration for the LFM parameters?

Hi,

Okay, Give me a few days to integrate this in and recheck my previous and
new results.

Glad to see the rho and beta parameters within the new correlation model...

How's it going on the forward stuff...?

Toy out.

>From: Klaus Spanderen <[hidden email]>
>To: "Toyin Akin" <[hidden email]>
>CC: [hidden email]
>Subject: Re: [Quantlib-users] Calibration for the LFM parameters?
>Date: Tue, 6 Jun 2006 08:20:59 -0700
>
>Hi Toy,
>
>can you do me a favour and try out the more complex parametizations
>enclosed
>in the attached tar ball? (haven't fully tested them, the tar ball also
>contains the modified test case file.), This should improve the ratio
>values.
>
>And please send me the vols for your caplets. 0.92 is really low. Is it the
>global minimum?
>
>cheers
> Klaus
>
>
>On Tuesday 06 June 2006 11:52, you wrote:
> > Hi Klaus,
> >
> > What kind of success rate are you having after calibrating for the a,
>b,c,
> > d and rho parameters of the LFM model?
> >
> > I'm finding that after calibrating to ITM caplets/floorlets/swaptions
>and
> > computing the ratio of the black (analytical) price over the calibrated
> > (LFM) price (basically using a modified version of your sample code
>within
> > the test directory), I get ratio values of 0.92 or less for the caplets.
> > Worst still for swaptions
> >
> > Are you finding the same ratio values or do you suspect I've done
>something
> > wrong?
> >
> > Best Regards,
> > Toy out.
>
>--
>_______________________________________________________
>Klaus Spanderen
>Hubertustal 13f
>48734 Reken (Germany)
>Email: [hidden email]
>(remove NOSPAM from the address)
>http://www.spanderen.de

><< lfm.tgz >>

>_______________________________________________
>QuantLib-users mailing list
>[hidden email]
>https://lists.sourceforge.net/lists/listinfo/quantlib-users

Toyin Akin

Re: Calibration for the LFM parameters?

In reply to this post by Klaus Spanderen

Hi Klaus,

What exactly is the difference between the new extended linear exponential
volatility model and the basic version?

I see they both take the same parameters within the constructor.

Toy out.

><< lfm.tgz >>

>_______________________________________________
>QuantLib-users mailing list
>[hidden email]
>https://lists.sourceforge.net/lists/listinfo/quantlib-users

Klaus Spanderen

Re: Calibration for the LFM parameters?

Hi Toy,

the extended volatillity model is an implementation of the so called "Formula
7" in Brigo/Mercurio,"Interest Rates Models", p. 208. It has an additional
weighting factor k_i for each period. (pls. s. commend in
lmextlinexpvolmodel.hpp 35) -> a bunch of new parameters, one should use the
LevenbergMarquardt optimizer. The constructors sets them all to one as a
starting point. Therefore you don''t see them within the parameter list of
the constructor.

Klaus

On Tuesday 06 June 2006 11:50 pm, Toyin Akin wrote:

> Hi Klaus,
>
> What exactly is the difference between the new extended linear exponential
> volatility model and the basic version?
>
> I see they both take the same parameters within the constructor.
>
> Toy out.
>
> From: Klaus Spanderen <[hidden email]>
>
> >To: "Toyin Akin" <[hidden email]>
> >CC: [hidden email]
> >Subject: Re: [Quantlib-users] Calibration for the LFM parameters?
> >Date: Tue, 6 Jun 2006 08:20:59 -0700
> >
> >Hi Toy,
> >
> >can you do me a favour and try out the more complex parametizations
> >enclosed
> >in the attached tar ball? (haven't fully tested them, the tar ball also
> >contains the modified test case file.), This should improve the ratio
> >values.
> >
> >And please send me the vols for your caplets. 0.92 is really low. Is it
> > the global minimum?
> >
> >cheers
> > Klaus
> >
> >On Tuesday 06 June 2006 11:52, you wrote:
> > > Hi Klaus,
> > >
> > > What kind of success rate are you having after calibrating for the a,
> >
> >b,c,
> >
> > > d and rho parameters of the LFM model?
> > >
> > > I'm finding that after calibrating to ITM caplets/floorlets/swaptions
> >
> >and
> >
> > > computing the ratio of the black (analytical) price over the calibrated
> > > (LFM) price (basically using a modified version of your sample code
> >
> >within
> >
> > > the test directory), I get ratio values of 0.92 or less for the
> > > caplets. Worst still for swaptions
> > >
> > > Are you finding the same ratio values or do you suspect I've done
> >
> >something
> >
> > > wrong?
> > >
> > > Best Regards,
> > > Toy out.
> >
> >--
> >_______________________________________________________
> >Klaus Spanderen
> >Hubertustal 13f
> >48734 Reken (Germany)
> >Email: [hidden email]
> >(remove NOSPAM from the address)
> >http://www.spanderen.de
> >
> >
> ><< lfm.tgz >>
> >
> >
> >
> >
> >_______________________________________________
> >QuantLib-users mailing list
> >[hidden email]
> >https://lists.sourceforge.net/lists/listinfo/quantlib-users
>
> _______________________________________________
> QuantLib-users mailing list
> [hidden email]
> https://lists.sourceforge.net/lists/listinfo/quantlib-users

Toyin Akin

Re: Calibration for the LFM parameters?

In reply to this post by Klaus Spanderen

Hi Klaus,

I'm still playing with your new files.

Should have something to report by Thursday.

Question, is it possible to have, possibly an enumeration variable, that
indicates different calibration choices for the LFM model. At the moment,
the calibration routine will calibrate all the volatility and correlation
parameters in one go.

It would be nice to have a method within the LFM model class that can
indicate three types of calibration :

calibration of the volatility parameters only
calibration of the correlation parameters only
calibration of the volatility and correlation parameters (as we have today)

This would be perfect for the case where you are given the volatility
parameters, but need to calibrate the correlation parameters.

Thoughts...?
Toy out.

><< lfm.tgz >>

>_______________________________________________
>QuantLib-users mailing list
>[hidden email]
>https://lists.sourceforge.net/lists/listinfo/quantlib-users

Klaus Spanderen

Re: Calibration for the LFM parameters?

Hi Toy,

can be implemented soon. What do you think about a "const" wrapper for the
LmVolatilityModel and LmCorrelationModel that hide the parameters of the
model and therefore avoid that either the correlation model or the volatility
model get calibrated?

would look like

boost::shared_ptr<LmVolatilityModel> constModel(
new LmVolatilityModelConstWrapper(lmVolaModel));

Klaus

On Wednesday 07 June 2006 6:09 pm, you wrote:

> Hi Klaus,
>
> I'm still playing with your new files.
>
> Should have something to report by Thursday.
>
> Question, is it possible to have, possibly an enumeration variable, that
> indicates different calibration choices for the LFM model. At the moment,
> the calibration routine will calibrate all the volatility and correlation
> parameters in one go.
>
> It would be nice to have a method within the LFM model class that can
> indicate three types of calibration :
>
> calibration of the volatility parameters only
> calibration of the correlation parameters only
> calibration of the volatility and correlation parameters (as we have today)
>
> This would be perfect for the case where you are given the volatility
> parameters, but need to calibrate the correlation parameters.
>
> Thoughts...?
> Toy out.
>
> From: Klaus Spanderen <[hidden email]>
>
> >To: "Toyin Akin" <[hidden email]>
> >CC: [hidden email]
> >Subject: Re: [Quantlib-users] Calibration for the LFM parameters?
> >Date: Tue, 6 Jun 2006 08:20:59 -0700
> >
> >Hi Toy,
> >
> >can you do me a favour and try out the more complex parametizations
> >enclosed
> >in the attached tar ball? (haven't fully tested them, the tar ball also
> >contains the modified test case file.), This should improve the ratio
> >values.
> >
> >And please send me the vols for your caplets. 0.92 is really low. Is it
> > the global minimum?
> >
> >cheers
> > Klaus
> >
> >On Tuesday 06 June 2006 11:52, you wrote:
> > > Hi Klaus,
> > >
> > > What kind of success rate are you having after calibrating for the a,
> >
> >b,c,
> >
> > > d and rho parameters of the LFM model?
> > >
> > > I'm finding that after calibrating to ITM caplets/floorlets/swaptions
> >
> >and
> >
> > > computing the ratio of the black (analytical) price over the calibrated
> > > (LFM) price (basically using a modified version of your sample code
> >
> >within
> >
> > > the test directory), I get ratio values of 0.92 or less for the
> > > caplets. Worst still for swaptions
> > >
> > > Are you finding the same ratio values or do you suspect I've done
> >
> >something
> >
> > > wrong?
> > >
> > > Best Regards,
> > > Toy out.
> >
> >--
> >_______________________________________________________
> >Klaus Spanderen
> >Hubertustal 13f
> >48734 Reken (Germany)
> >Email: [hidden email]
> >(remove NOSPAM from the address)
> >http://www.spanderen.de
> >
> >
> ><< lfm.tgz >>
> >
> >
> >
> >
> >_______________________________________________
> >QuantLib-users mailing list
> >[hidden email]
> >https://lists.sourceforge.net/lists/listinfo/quantlib-users

Toyin Akin

Re: Calibration for the LFM parameters?

Hi,

I like it, I like it a lot!!

I do like the way that different volatility and correlation specifications
can be passed into the LFM model.

Very nice.

I assume that you require swaptions in order to calibrate the correlation
models...

Toy out.

>From: Klaus Spanderen <[hidden email]>
>Reply-To: [hidden email]
>To: "Toyin Akin" <[hidden email]>
>CC: [hidden email]
>Subject: Re: [Quantlib-users] Calibration for the LFM parameters?
>Date: Wed, 7 Jun 2006 09:25:24 +0200
>
>Hi Toy,
>
>can be implemented soon. What do you think about a "const" wrapper for the
>LmVolatilityModel and LmCorrelationModel that hide the parameters of the
>model and therefore avoid that either the correlation model or the
>volatility
>model get calibrated?
>
>would look like
>
>boost::shared_ptr<LmVolatilityModel> constModel(
> new LmVolatilityModelConstWrapper(lmVolaModel));
>
>Klaus
>
>On Wednesday 07 June 2006 6:09 pm, you wrote:
> > Hi Klaus,
> >
> > I'm still playing with your new files.
> >
> > Should have something to report by Thursday.
> >
> > Question, is it possible to have, possibly an enumeration variable, that
> > indicates different calibration choices for the LFM model. At the
>moment,
> > the calibration routine will calibrate all the volatility and
>correlation
> > parameters in one go.
> >
> > It would be nice to have a method within the LFM model class that can
> > indicate three types of calibration :
> >
> > calibration of the volatility parameters only
> > calibration of the correlation parameters only
> > calibration of the volatility and correlation parameters (as we have
>today)
> >
> > This would be perfect for the case where you are given the volatility
> > parameters, but need to calibrate the correlation parameters.
> >
> > Thoughts...?
> > Toy out.
> >
> > From: Klaus Spanderen <[hidden email]>
> >
> > >To: "Toyin Akin" <[hidden email]>
> > >CC: [hidden email]
> > >Subject: Re: [Quantlib-users] Calibration for the LFM parameters?
> > >Date: Tue, 6 Jun 2006 08:20:59 -0700
> > >
> > >Hi Toy,
> > >
> > >can you do me a favour and try out the more complex parametizations
> > >enclosed
> > >in the attached tar ball? (haven't fully tested them, the tar ball also
> > >contains the modified test case file.), This should improve the ratio
> > >values.
> > >
> > >And please send me the vols for your caplets. 0.92 is really low. Is it
> > > the global minimum?
> > >
> > >cheers
> > > Klaus
> > >
> > >On Tuesday 06 June 2006 11:52, you wrote:
> > > > Hi Klaus,
> > > >
> > > > What kind of success rate are you having after calibrating for the
>a,
> > >
> > >b,c,
> > >
> > > > d and rho parameters of the LFM model?
> > > >
> > > > I'm finding that after calibrating to ITM
>caplets/floorlets/swaptions
> > >
> > >and
> > >
> > > > computing the ratio of the black (analytical) price over the
>calibrated
> > > > (LFM) price (basically using a modified version of your sample code
> > >
> > >within
> > >
> > > > the test directory), I get ratio values of 0.92 or less for the
> > > > caplets. Worst still for swaptions
> > > >
> > > > Are you finding the same ratio values or do you suspect I've done
> > >
> > >something
> > >
> > > > wrong?
> > > >
> > > > Best Regards,
> > > > Toy out.
> > >
> > >--
> > >_______________________________________________________
> > >Klaus Spanderen
> > >Hubertustal 13f
> > >48734 Reken (Germany)
> > >Email: [hidden email]
> > >(remove NOSPAM from the address)
> > >http://www.spanderen.de
> > >
> > >
> > ><< lfm.tgz >>
> > >
> > >
> > >
> > >
> > >_______________________________________________
> > >QuantLib-users mailing list
> > >[hidden email]
> > >https://lists.sourceforge.net/lists/listinfo/quantlib-users
>

Klaus Spanderen

Re: Calibration for the LFM parameters?

Hi Toy,

yes, I used swaptions to fix the correlation models. Please find the "const
wrappers" enclosed in the attachments. Hope that works..

cheers
Klaus

On Wednesday 07 June 2006 11:41 pm, Toyin Akin wrote:

> Hi,
>
> I like it, I like it a lot!!
>
> I do like the way that different volatility and correlation specifications
> can be passed into the LFM model.
>
> Very nice.
>
> I assume that you require swaptions in order to calibrate the correlation
> models...
>
> Toy out.
>
>
> From: Klaus Spanderen <[hidden email]>
>
> >Reply-To: [hidden email]
> >To: "Toyin Akin" <[hidden email]>
> >CC: [hidden email]
> >Subject: Re: [Quantlib-users] Calibration for the LFM parameters?
> >Date: Wed, 7 Jun 2006 09:25:24 +0200
> >
> >Hi Toy,
> >
> >can be implemented soon. What do you think about a "const" wrapper for the
> >LmVolatilityModel and LmCorrelationModel that hide the parameters of the
> >model and therefore avoid that either the correlation model or the
> >volatility
> >model get calibrated?
> >
> >would look like
> >
> >boost::shared_ptr<LmVolatilityModel> constModel(
> > new LmVolatilityModelConstWrapper(lmVolaModel));
> >
> >Klaus
> >
> >On Wednesday 07 June 2006 6:09 pm, you wrote:
> > > Hi Klaus,
> > >
> > > I'm still playing with your new files.
> > >
> > > Should have something to report by Thursday.
> > >
> > > Question, is it possible to have, possibly an enumeration variable,
> > > that indicates different calibration choices for the LFM model. At the
> >
> >moment,
> >
> > > the calibration routine will calibrate all the volatility and
> >
> >correlation
> >
> > > parameters in one go.
> > >
> > > It would be nice to have a method within the LFM model class that can
> > > indicate three types of calibration :
> > >
> > > calibration of the volatility parameters only
> > > calibration of the correlation parameters only
> > > calibration of the volatility and correlation parameters (as we have
> >
> >today)
> >
> > > This would be perfect for the case where you are given the volatility
> > > parameters, but need to calibrate the correlation parameters.
> > >
> > > Thoughts...?
> > > Toy out.
> > >
> > > From: Klaus Spanderen <[hidden email]>
> > >
> > > >To: "Toyin Akin" <[hidden email]>
> > > >CC: [hidden email]
> > > >Subject: Re: [Quantlib-users] Calibration for the LFM parameters?
> > > >Date: Tue, 6 Jun 2006 08:20:59 -0700
> > > >
> > > >Hi Toy,
> > > >
> > > >can you do me a favour and try out the more complex parametizations
> > > >enclosed
> > > >in the attached tar ball? (haven't fully tested them, the tar ball
> > > > also contains the modified test case file.), This should improve the
> > > > ratio values.
> > > >
> > > >And please send me the vols for your caplets. 0.92 is really low. Is
> > > > it the global minimum?
> > > >
> > > >cheers
> > > > Klaus
> > > >
> > > >On Tuesday 06 June 2006 11:52, you wrote:
> > > > > Hi Klaus,
> > > > >
> > > > > What kind of success rate are you having after calibrating for the
> >
> >a,
> >
> > > >b,c,
> > > >
> > > > > d and rho parameters of the LFM model?
> > > > >
> > > > > I'm finding that after calibrating to ITM
> >
> >caplets/floorlets/swaptions
> >
> > > >and
> > > >
> > > > > computing the ratio of the black (analytical) price over the
> >
> >calibrated
> >
> > > > > (LFM) price (basically using a modified version of your sample code
> > > >
> > > >within
> > > >
> > > > > the test directory), I get ratio values of 0.92 or less for the
> > > > > caplets. Worst still for swaptions
> > > > >
> > > > > Are you finding the same ratio values or do you suspect I've done
> > > >
> > > >something
> > > >
> > > > > wrong?
> > > > >
> > > > > Best Regards,
> > > > > Toy out.
> > > >
> > > >--
> > > >_______________________________________________________
> > > >Klaus Spanderen
> > > >Hubertustal 13f
> > > >48734 Reken (Germany)
> > > >Email: [hidden email]
> > > >(remove NOSPAM from the address)
> > > >http://www.spanderen.de
> > > >
> > > >
> > > ><< lfm.tgz >>
> > > >
> > > >
> > > >
> > > >
> > > >_______________________________________________
> > > >QuantLib-users mailing list
> > > >[hidden email]
> > > >https://lists.sourceforge.net/lists/listinfo/quantlib-users
>
> _______________________________________________
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lmconstwrappervolmodel.hpp (2K) Download Attachment

lmconstwrappercorrmodel.hpp (2K) Download Attachment