Problem with LiborForwardModel using CapHelper

[Pornput Suriyamongkol]

Hi,
 
I'm trying to calibrate LiborForwardModel using CapHelper. The fixingTimes of the model's process are 0, 6M, 12M, 18M, ....
I then create a vector of CapHelper with the caps of corresponding maturities to the model's process and set the pricing engine as the model itself (using AnalyticCapFloorEngine).
 
The problem when I called LiborForwardModel::calibrate() is
if I include the cap of zero length in the vector of CapHelper, I got following the message:
effective date (October 10th, 2007) later than or equal to termination date (October 10th, 2007).
 
but if I exclude the cap of zero length in the vector of CapHelper, I got the following message:
irregular fixings are not (yet) supported
 
Anybody knows the workaround of this problem?
 
Thanks,
 

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[Klaus Spanderen-2]

Hi

first a short "warning", there will be no further development for the
LiborForwardModel. Please use the QuantLib marketmodels approach instead. The
code for LiborForwardModel will be removed soon.

Don't add a zero length coupon. The maturities of the caps have to fit to the
"fixing dates" of the LiborForward Process. Please have a look at the test
case testCalibration() within the file
test-suite/libormarketmodel.cpp
for a calibration of a libor market model.

cheers

On Wednesday 10 October 2007 12:20, Pornput Suriyamongkol wrote:

> Hi,
>
> I'm trying to calibrate LiborForwardModel using CapHelper. The fixingTimes
> of the model's process are 0, 6M, 12M, 18M, .... I then create a vector of
> CapHelper with the caps of corresponding maturities to the model's process
> and set the pricing engine as the model itself (using
> AnalyticCapFloorEngine).
>
> The problem when I called LiborForwardModel::calibrate() is
> if I include the cap of zero length in the vector of CapHelper, I got
> following the message: effective date (October 10th, 2007) later than or
> equal to termination date (October 10th, 2007).
>
> but if I exclude the cap of zero length in the vector of CapHelper, I got
> the following message: irregular fixings are not (yet) supported
>
> Anybody knows the workaround of this problem?
>
> Thanks,
>
> _________________________________________________________________
> Peek-a-boo FREE Tricks & Treats for You!
> http://www.reallivemoms.com?ocid=TXT_TAGHM&loc=us

--
Klaus Spanderen
Ludwig Erhard Str. 12
48734 Reken (Germany)
Email: [hidden email] (remove NOSPAM from the address)

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[Pornput Suriyamongkol]

Thank you for the warning and the advice :)

---

> From: [hidden email]

> To: [hidden email]
> Date: Tue, 9 Oct 2007 14:31:41 +0200
> Subject: Re: [Quantlib-users] Problem with LiborForwardModel using CapHelperHi#
>
> Hi
>
> first a short "warning", there will be no further development for the
> LiborForwardModel. Please use the QuantLib marketmodels approach instead. The
> code for LiborForwardModel will be removed soon.
>
> Don't add a zero length coupon. The maturities of the caps have to fit to the
> "fixing dates" of the LiborForward Process. Please have a look at the test
> case testCalibration() within the file
> test-suite/libormarketmodel.cpp
> for a calibration of a libor market model.
>
> cheers
>
> On Wednesday 10 October 2007 12:20, Pornput Suriyamongkol wrote:
> > Hi,
> >
> > I'm trying to calibrate LiborForwardModel using CapHelper. The fixingTimes
> > of the model's process are 0, 6M, 12M, 18M, .... I then create a vector of
> > CapHelper with the caps of corresponding maturities to the model's process
> > and set the pricing engine as the model itself (using
> > AnalyticCapFloorEngine).
> >
> > The problem when I called LiborForwardModel::calibrate() is
> > if I include the cap of zero length in the vector of CapHelper, I got
> > following the message: effective date (October 10th, 2007) later than or
> > equal to termination date (October 10th, 2007).
> >
> > but if I exclude the cap of zero length in the vector of CapHelper, I got
> > the following message: irregular fixings are not (yet) supported
> >
> > Anybody knows the workaround of this problem?
> >
> > Thanks,
> >
> > _________________________________________________________________
> > Peek-a-boo FREE Tricks & Treats for You!
> > http://www.reallivemoms.com?ocid=TXT_TAGHM&loc=us
>
> --
> Klaus Spanderen
> Ludwig Erhard Str. 12
> 48734 Reken (Germany)
> Email: [hidden email] (remove NOSPAM from the address)
>
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> This SF.net email is sponsored by: Splunk Inc.
> Still grepping through log files to find problems? Stop.
> Now Search log events and configuration files using AJAX and a browser.
> Download your FREE copy of Splunk now >> http://get.splunk.com/
> _______________________________________________
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