How to calibrate a Market Model
URL: http://quantlib.414.s1.nabble.com/How-to-calibrate-a-Market-Model-tp18057.html
In
QuantLib there exist several classes deriving from the MarketModel
class.
One
of them is the FlatVol, which I have used successfully
to price a
european swaption.
But
the FlatVol constructor looks as follows:
FlatVol(
const std::vector<Volatility>& volatilities,
const
boost::shared_ptr<PiecewiseConstantCorrelation>& corr,
.... )
which
means that I need to know the volatilities and corr
inputs.
My
problem is how to get these inputs by relying only on market
data consisting of
caplet and swaption vols.
Does
some sort of calibrator class exist that is capable of
producing these inputs
(or the whole FlatVol object preferably), after being fed
with the market data?
If
this is not yet implemented with respect to FlatVol, does
such an implementation
at least exist for some other class deriving from
MarketModel?
I
have seen the three classes CTSMMCapletCalibration, CTSMMCapletOriginalCalibration
and CTSMMCapletAlphaFormCalibration, which almost
do the job, but
they have the shortcoming that their constructors take a
vector of PiecewiseConstantVariance
rather than a vector of numbers for the required input of
swaption
volatilities. Unfortunately the market does not supply us with
a PiecewiseConstantVarianceobject,
so I don't know how to proceed!
Many thanks in advance
Yannis
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