Re: Calibration for the LFM parameters?

Posted by Klaus Spanderen on
URL: http://quantlib.414.s1.nabble.com/Lfm-HullWhite-Parameterization-tp4788p4792.html

Hi Toy,

can you do me a favour and try out the more complex parametizations enclosed
in the attached tar ball? (haven't fully tested them, the tar ball also
contains the modified test case file.),  This should improve the ratio
values.

And please send me the vols for your caplets. 0.92 is really low. Is it the
global minimum?

cheers
 Klaus


On Tuesday 06 June 2006 11:52, you wrote:

> 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.

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