Re: selective model calibration
Posted by
Peter Caspers-4 on
Oct 24, 2013; 9:26am
URL: http://quantlib.414.s1.nabble.com/selective-model-calibration-tp14610p14614.html
Hi Roland,
actually the third case is my core motivation since it seems not really possible to keep only the first component of a piecewise parameter fixed during calibration. A workaround is possible also in this case, but it is really ugly.
Concerning the second case I observed that calibrating a Hull White Model with piecewise volatility to 1y/34y, 2y/33y, ... 34y/1y at the money coterminal swaptions (the reversion being fixed) takes significantly longer using a 34-dim Levenberg-Marquardt optimzation compared to 34 1-dim optimzations or zero searches. I can send example code, however it relies on a not yet officially released implementation of a GSR model (as described by Piterbarg). Up to now I added a "calibrateIterative(...)" - method to CalibratedModel as a workaround, but you have to consider in which situations this will work correctly before applying it. It would be much nicer to have a robust implementation in the GSR model itself, where you can take care of executing the procedure correctly just by invoking the base class method for each option and fix the respective components in each iteration.
Do you still think example code for the second case would be useful (then I will prepare something you can pull) or can you run a test like the one above easily on your side as well ?
I think the general solution will not require much coding, so I will give it a try on the weekend.
regards
Peter
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