Re: Calibration for the LFM parameters?

Posted by Toyin Akin on
URL: http://quantlib.414.s1.nabble.com/Lfm-HullWhite-Parameterization-tp4788p4797.html


Hi Klaus,

What exactly is the difference between the new extended linear exponential
volatility model and the basic version?

I see they both take the same parameters within the constructor.

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 >>




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