the underlying 5y swap. For PFE probably not, since dependent on the
calibrated model (but how ... ?).
> 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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