Hi,
as I have not received any response to my question below yet, I repost it here because the issue is very important. I am looking for a calibration solution with regard to market models. If none exists, could somebody please confirm this is the case and whether any plans exist to introduce one? Unfortunately without calibration, the whole market model implementation - as it stands - has only academic meaning.
cheers
Yannis
Subject: | [Quantlib-users] How to calibrate a Market Model |
---|---|
Date: | Sat, 4 Feb 2017 17:52:57 +0100 |
From: | Ioannis Rigopoulos [hidden email] |
To: | [hidden email] |
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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