Re: Calibration for the LFM parameters?

Posted by Toyin Akin on
URL: http://quantlib.414.s1.nabble.com/Lfm-HullWhite-Parameterization-tp4788p4795.html


Hi,

I like it, I like it a lot!!

I do like the way that different volatility and correlation specifications
can be passed into the LFM model.

Very nice.

I assume that you require swaptions in order to calibrate the correlation
models...

Toy out.

>From: Klaus Spanderen <[hidden email]>
>Reply-To: [hidden email]
>To: "Toyin Akin" <[hidden email]>
>CC: [hidden email]
>Subject: Re: [Quantlib-users] Calibration for the LFM parameters?
>Date: Wed, 7 Jun 2006 09:25:24 +0200
>
>Hi Toy,
>
>can be implemented soon. What do you think about a "const" wrapper for the
>LmVolatilityModel and LmCorrelationModel that hide the parameters of the
>model and therefore avoid that either the correlation model or the
>volatility
>model get calibrated?
>
>would look like
>
>boost::shared_ptr<LmVolatilityModel> constModel(
> new LmVolatilityModelConstWrapper(lmVolaModel));
>
>Klaus
>
>On Wednesday 07 June 2006 6:09 pm, you wrote:
> > Hi Klaus,
> >
> > I'm still playing with your new files.
> >
> > Should have something to report by Thursday.
> >
> > Question, is it possible to have, possibly an enumeration variable, that
> > indicates different calibration choices for the LFM model. At the
>moment,
> > the calibration routine will calibrate all the volatility and
>correlation
> > parameters in one go.
> >
> > It would be nice to have a method within the LFM model class that can
> > indicate three types of calibration :
> >
> > calibration of the volatility parameters only
> > calibration of the correlation parameters only
> > calibration of the volatility and correlation parameters (as we have
>today)
> >
> > This would be perfect for the case where you are given the volatility
> > parameters, but need to calibrate the correlation parameters.
> >
> > Thoughts...?
> > Toy out.
> >
> > From: Klaus Spanderen <[hidden email]>
> >
> > >To: "Toyin Akin" <[hidden email]>
> > >CC: [hidden email]
> > >Subject: Re: [Quantlib-users] Calibration for the LFM parameters?
> > >Date: Tue, 6 Jun 2006 08:20:59 -0700
> > >
> > >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.
> > >
> > >--
> > >_______________________________________________________
> > >Klaus Spanderen
> > >Hubertustal 13f
> > >48734 Reken (Germany)
> > >Email: [hidden email]
> > >(remove NOSPAM from the address)
> > >http://www.spanderen.de
> > >
> > >
> > ><< lfm.tgz >>
> > >
> > >
> > >
> > >
> > >_______________________________________________
> > >QuantLib-users mailing list
> > >[hidden email]
> > >https://lists.sourceforge.net/lists/listinfo/quantlib-users
>