Hi Quantlib users
I am trying to setup the market model with correlation and precalibrated vol grid .
E.g. I simply feed in a calibrated vol grid for the time grid points and an associated correlation grid.
Can anyone confirm if this can be acheved according to the following steps
To make direct use of a calibration correlation matrix
1.) get a preconstructed correlation matrix for the associated fixing dates
2.) feed the preconstructed correlation matrix and evolution ratetimes into a pointer to a timehomogeneousforwardcorrelation
My question is then, what is the calibration result in terms of vol data and how can this be fed direct into a market model so that we do not have to run calibration 1st?.
Does this have anything to do with a pseudoRoots for the number of factors and rateTimes matrix?.
Is there any more details documentation on what the calibration does and what object are generated as a result of the calibration.
Any help appreciated.
Thanks
Jason
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