Posted by
Toyin Akin-4 on
Jul 10, 2003; 1:00am
URL: http://quantlib.414.s1.nabble.com/Re-bermudan-swaption-simplex-tp2586p2590.html
Hi,
I have the same problem as you.
I cannot get the CIR+, G2++ to calibrate. No matter how long I wait and
optimisation method I choose.
I even reduced the number of volatility calibration points down to 9.
HW is fine with all the optimisation methods, however simplex is the most
accurate.
Best Regards,
Toyin Akin.
----- Original Message -----
From: "Zakoian2000" <
[hidden email]>
To: "Giancarlo Pfeifer" <
[hidden email]>;
<
[hidden email]>
Sent: Thursday, July 10, 2003 12:13 AM
Subject: RE: [Quantlib-users] Re: bermudan swaption, simplex
> Is the simplex optimization still valid for more than 2 dimensions? It
does
> not work with CIR+ or G2++ and I don't know yet where the problem is....
Has
> anybody made it working with the CIR + Jamshidian Swaption?
>
> Regards,
>
> Zakoian
>
> -----Original Message-----
> From:
[hidden email]
> [mailto:
[hidden email]]On Behalf Of Giancarlo
> Pfeifer
> Sent: Friday, June 27, 2003 4:09 PM
> To:
[hidden email]
> Subject: [Quantlib-users] Re: bermudan swaption, simplex
>
>
> > At 11:15 PM 2/4/03 +0100, roland.lichters@we... wrote:
> > >I am trying to run the bermudan swaption example, but the Hull White
> > >numerical calibration hangs.
> >
> > Roland,
> > are you sure it actually hangs? On my box, the analytic
> > calibration is almost instantaneous, while the numerical calibration
takes
> > over 10 minutes to complete---which might as well give the impression of
>
> hanging (and suggests choosing the analytic calibration for actual work :)
> > Could you try and let it run during a lunch break or something?
> >
> > Oh, and thanks for the kind words...
> >
> > Later,
> > Luigi
>
> Thanks for creating QuantLib. I started use it a couple of weeks ago, and
I
> am impressed by the coding quality (expecially the consistency in which
> design patterns are used).
>
> I am now experimenting with Bermudan Swaptions and I have four
questions...
>
> 1. I am trying to calibrate Hull-White for Bermudan swaptions, and the
time
> needed for calibration varies greatly depending on the volatility surface
I
> am inserting. For some surfaces, the analytic formula only takes a few
> seconds, while with other surfaces the calibration does never seem to
> terminate.
>
> I am wondering if this could be due to the value of the parameter "lambda"
> passed to the Simplex object.
> In the demo, lambda is set to 0.25, and this might be an optimal value for
> that particular surface, but maybe it is not optimal for other volatility
> surfaces. Could this be the cause of the long time needed for some
> calibrations? If so, is there a way to determine a good "lambda"?
>
> Or should I expect the time used by the calibration to be more or less the
> same, regardless of the volatility surface used? (in which case I am
clearly
> doing something wrong in my code?)
>
>
>
> 2. I am also wondering if the order in which the volatilities are inserted
> matters. The demo has the following line:
>
> swaption.push_back(
> Handle<CalibrationHelpers>(
> new SwaptionHelper(swaptionMaturities[j],
> Period(swaptionLengths[i]), Years),
> RelinkableHandle<MarketElement>(Vol),
> indexSixMonths,
> rhTermStructure)
>
> that is called for each instrument to calibrate. In a old email, Francesco
> Perissin (2002-09-06) suggested:
> "pay attention to the vector of input swaption volatilities, sort them
> correctly"
> Is this correct? Why is sorting necessary (since maturity and tenor is
> passed with vol)? And which kind of sorting? Shall the instruments be
> inserted Increasing in swap tenor?
>
> 3. How does the SwaptionHelper class works? Looking at the implementation,
> it seems to me, that it generates the swap that corresponds to the ATM of
> the swaption, but I notice that the frequencies for the floating and fixed
> legs are both set to the frequency of the index, and the day counting
> convention is the one for the index too.
> Does it mean that, for example for an EURO swaption, the swaption
volatility
> surface I am using should be computed for swaptions semi-annual on both
the
> fixed and the floating leg? (if I am not wrong, people tend to quote vols
> for annual bond vs 6m....). This looks a bit strange to me... Am I wrong?
>
> 4. Even when I manage to calibrate the surface with Hull&White, the
> volatilities can differ for quite big amounts. I guess that what I am
> looking for is an implementation of Hull and White with alpha that depends
> on time... Is anyone working on the implementation of the Hull&White with
> non constant alpha? If not, have you any suggestions in case I wanted to
try
> to create a new class in Quantlib to implement it? (I don't know if I will
> have enough time to do it immediately, but I am thinking about it...).
>
> Thanks a lot for your patience reading this and for all the effort you are
> putting on Quantlib.
> gc
>
>
>
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