Calibration for the LFM parameters?

Posted by Toyin Akin on
URL: http://quantlib.414.s1.nabble.com/Lfm-HullWhite-Parameterization-tp4788p4791.html


Hi Klaus,

What kind of success rate are you having after calibrating for the a, b,c, d
and rho parameters of the LFM model?

I'm finding that after calibrating to ITM caplets/floorlets/swaptions and
computing the ratio of the black (analytical) price over the calibrated
(LFM) price (basically using a modified version of your sample code within
the test directory), I get ratio values of 0.92 or less for the caplets.
Worst still for swaptions

Are you finding the same ratio values or do you suspect I've done something
wrong?

Best Regards,
Toy out.