possible. The problem with a constant parameter Hull White model as
of coterminals given realistic market data. With the common
calibrate to coterminals (yet not more), so I would do this. But then
allow for computing a portfolio CVA. You could proceed to aggregate
using a representative basket (or some other) approach. On the other
the result anyway. Very personal thoughts, not my daily business.
> Peter,
> I am currently doing CVA for the whole of our portfolio . I am not using co-terminal swaptions . I use a more representative surface- like this example
http://letianwang.net/Codes/HW_Calibration.htm> Is this incorrect ?
> Also can you please point me some paper/ method that shows me how I can adjust HW parameters to convert them from the risk-neutral to real-world measure
> Thank you very much.
>
>
>> On Jan 23, 2015, at 4:50 PM, "Ghorpadkar, Suhas" <
[hidden email]> wrote:
>>
>> Thanks. Since my immediate need is CVA, I will put the PFE question on the backburner :)
>> So my plan is, calibrate HW for 2 sets of curves (OIS and forecasting) and 1 set of coterminal swaptions, giving me 2 sets of HW parameters.
>> For each simulation, generate both the curves based on HW model provided discount factors and NPV the swap, calculate the expected exposure and use it to calculate the CVA.
>> Thanks for all your help.
>>
>> -----Original Message-----
>> From: Peter Caspers [mailto:
[hidden email]]
>> Sent: Friday, January 23, 2015 2:29 PM
>> To: Ghorpadkar, Suhas
>> Cc:
[hidden email]
>> Subject: Re: [Quantlib-users] TermStructure->times()
>>
>> with a high chance that others correct me, I'd say yes for the CVA of
>> the underlying 5y swap. For PFE probably not, since dependent on the
>> pricing measure, here you'd probably want a physical measure, either
>> through historical data or by adjusting the drift in your swaption
>> calibrated model (but how ... ?).
>> Peter
>>
>> On 23 January 2015 at 18:21, Ghorpadkar, Suhas
>> <
[hidden email]> wrote:
>>> 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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