Gsr model calibration

Posted by Ghorpadkar, Suhas on Feb 15, 2017; 3:55pm
URL: http://quantlib.414.s1.nabble.com/Gsr-model-calibration-tp18087.html

I am trying to calibrate Gsr model to a vanilla swaption vol surface. I have reviewed the excellent blog at https://quantlib.wordpress.com/tag/gsr-model/

But it seems like, in the blog article, the model was calibrated to Bermudan swaption vols as I see step dates (or exercise dates) being provided to the model.

I have vols for European vanilla swaptions so I guess there is only one exercise date which is the maturity. I am not sure what needs to be passed to the model as step dates in my case. Also, I think I completely missed the point of using BasketGeneratingEngine and how model is calibrated to the basket of swaptions that are generated. Do I need to use the BasketGenerationEngine as I already have market vols ?

 

Thank you in advance,

 

Suhas

 

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