Re: Calibration for the LFM parameters?

Posted by Klaus Spanderen on
URL: http://quantlib.414.s1.nabble.com/Lfm-HullWhite-Parameterization-tp4788p4796.html

Hi Toy,

yes, I used swaptions to fix the correlation models. Please find the "const
wrappers" enclosed in the attachments. Hope that works..

cheers
 Klaus

On Wednesday 07 June 2006 11:41 pm, Toyin Akin wrote:

> 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
>
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