Posted by
suhasg on
Jan 23, 2015; 5:18pm
URL: http://quantlib.414.s1.nabble.com/TermStructure-times-tp16189p16197.html
Thanks.
If I am calibrating HW so that I can generate yield curves for a series of future dates to be used in simulation for CVA/PFE and not for pricing Bermudan swaption, do I still restrict my calibration to those 5 coterminal swaptions?
Thanks again,
Suhas.
-----Original Message-----
From: Peter Caspers [mailto:
[hidden email]]
Sent: Friday, January 23, 2015 10:54 AM
To: Ghorpadkar, Suhas
Cc:
[hidden email]
Subject: Re: [Quantlib-users] TermStructure->times()
As an user I wouldn't care and just trust that the swaption helper
returns the times needed in the grid when pricing on a tree -
nevertheless, looking in the code the mandatory times of a swaption
are the exercise times and the underlying's reset and payment times of
both legs. What you should care about more is the steps parameter (30
in the example) defining how fine the pricing grid is in the end.
For the last question, it is common to calibrate a model for standard
bermudan swaptions to the respective european call rights only and use
the mean reversion to tune the interplay between these in the model.
The Hull White model (also the others in the example) are limited
w.r.t. the number of calibration instruments they can replicate, so
you have to restrict yourself to the most important ones. With time
constant volatility even the five coterminals from the example are too
much and will not repriced exactly.
Peter
On 23 January 2015 at 16:13, Ghorpadkar, Suhas
<
[hidden email]> wrote:
> You are right, there is no call to TermStructure's times() method.
> I guess my problem is, I am not sure what SwaptionHelper::addTimesTo() method is returning, is it list of yearfractions for the
> Floating leg resets of the underlying swap ?
> Also, I am trying to figure out why only "1x5, 2x4, 3x3, 4x2, 5x1" swaptions are considered for calibration? If I have ATM vols for 3x5 swaption,
> am not supposed to create a swaptionhelper object for it and ultimately use it in calibration?
>
> Thanks so much,
> Suhas.
>
> -----Original Message-----
> From: Peter Caspers [mailto:
[hidden email]]
> Sent: Friday, January 23, 2015 3:56 AM
> To: Ghorpadkar, Suhas
> Cc:
[hidden email]
> Subject: Re: [Quantlib-users] TermStructure->times()
>
> as far as I can see in L186 SwaptionHelper::addTimesTo() is used to
> fill the times list, which later on the basis for a time grid (L190).
> Where do see a call to a term structure's times() method ?
> Peter
>
>
> On 22 January 2015 at 22:35, Ghorpadkar, Suhas
> <
[hidden email]> wrote:
>> Hello,
>>
>>
>>
>> I am going through the Bermudan swaption example and noticed that when
>> calibrating HW, to build TimeGrid, termstructure’s times() method is called.
>>
>> I am not clear about exactly what this method returns.
>>
>> Since this is called inside a loop, why would the TermStructure return
>> different results for each swaptionhelper?
>>
>>
>>
>> Thanks in advance,
>>
>> Suhas.
>>
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