Posted by
Toyin Akin-4 on
Jul 10, 2003; 3:20am
URL: http://quantlib.414.s1.nabble.com/Re-bermudan-swaption-simplex-tp2586p2592.html
Hi,
It looks like your tests have been more inensive than mine, however I could
not get the CIR+ or G2++ models
to work at all. Simplex seems to be the most accurate so I probably would
not use the others.
Perhaps a summary/note from the QuantLib guys to indicate whether these
models actually do work?
And if so, under which scenarios.
Best Regards,
Toyin Akin.
----- Original Message -----
From: "Zakoian2000" <
[hidden email]>
To: "Toyin Akin" <
[hidden email]>; "Zakoian2000"
<
[hidden email]>; "Giancarlo Pfeifer"
<
[hidden email]>; <
[hidden email]>
Sent: Thursday, July 10, 2003 9:01 AM
Subject: RE: [Quantlib-users] Re: bermudan swaption, simplex
> Toyin, was it the case that it didn't work with other optimizers as well?
> Have you used the analytical (jamshidian) or the tree calibration for
CIR+?
> We can use the specificSwaptionPricer( if i remember the name correctly)
for
> the G2++ analytical swaption calibration but it doen't calibrate with the
> simplex method.....
>
> -----Original Message-----
> From:
[hidden email]
> [mailto:
[hidden email]]On Behalf Of Toyin Akin
> Sent: Thursday, July 10, 2003 8:01 AM
> To: Zakoian2000; Giancarlo Pfeifer;
[hidden email]
> Subject: Re: [Quantlib-users] Re: bermudan swaption, simplex
>
>
>
> 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 "lambd
a"
> > 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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