Posted by
Kjersti Aas on
URL: http://quantlib.414.s1.nabble.com/BermudanSwaption-tp17331.html
Dear all!
I have tried to use the BermudanSwaption-function in the R-package
RQuantlib to calibrate the parameters of the G++-model using swaptions.
As far as I have understood, this function builds on the
BermudeanSwaption-function in QuantLib
(
http://quantlib.sourcearchive.com/documentation/1.1-1/BermudanSwaption_8cpp_source.html).
My problem is that the R-function gives very strange results, and I am
not sure whether if this is an R-problem or a QuantLib-problem. Hence, I
wonder if anyone has used the BermudeanSwaption-function in QuantLib to
calibrate the parameters of the G++-function with success?
Specifically, I tried to repeat the experiment in Chapter 4.2 in the
Brigo-Mercurio Book. They use the following maturities, tenors and
swaption volatilities:
swaptionMaturities <- c(1,2,3,4,5,7,10)
swapTenors <- c(1,2,3,4,5,6,7,8,9,10)
volMatrix <-
matrix(c(0.1640,0.1550,0.1430,0.1310,0.1240,0.1190,0.1160,0.1120,0.1100,0.1070,
0.1600,0.1500,0.1390,0.1290,0.1220,0.1190,0.1160,0.1130,0.1100,0.1080,
0.1570,0.1450,0.1340,0.1240,0.1190,0.1150,0.1130,0.1100,0.1080,0.1060,
0.1480,0.1360,0.1260,0.1190,0.1140,0.1120,0.1090,0.1070,0.1050,0.1030,
0.1400,0.1280,0.1210,0.1140,0.1100,0.1070,0.1050,0.1030,0.1020,0.1000,
0.1300,0.1190,0.1130,0.1050,0.1010,0.0990,0.0970,0.0960,0.0950,0.0930,
0.1160,0.1070,0.1000,0.0930,0.0900,0.0890,0.0870,0.0860,0.0850,0.0840),
ncol=10, byrow=TRUE)
and get the following parameters:
a=0.77 b=0.0982, sigma=0.022, eta=0.01 and rho=-0.702
Any help on this issue would be greatly appreciated!
Kind regards,
Kjersti Aas
--
_______________________________________________________________________
Kjersti Aas, Dr. Philos, Assistant Research Director,
http://www.nr.no/~kjersti/Norsk Regnesentral, P.O.Box 114 Blindern, 0314 Oslo, Norway.
TEL: +47 22 85 25 00, FAX: +47 22 69 76 60
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