Re: G2 revisited

Posted by Luigi Ballabio-2 on Jun 08, 2004; 3:58am
URL: http://quantlib.414.s1.nabble.com/G2-revisited-tp2986p2994.html

On 2004.06.08 11:37, Ferdinando Ametrano wrote:
> That Bermudan example also shows what might be a problem about G2, or  
> simplex optimization, or simply about my understanding :(
> The G2 model has 5 parameters and it is calibrated to 5 European  
> swaptions so I was expecting perfect calibration (zero errors), but  
> this is not the case...

You'll have zero errors if the objective function of those 5 parameters  
is well-behaved enough to let the optimizer find the true minimum. It  
might as well be that in this case, the simplex is getting itself stuck  
in a local minimum...

Bye,
        Luigi