Re: Calibration for the LFM parameters?

Posted by Klaus Spanderen on
URL: http://quantlib.414.s1.nabble.com/Lfm-HullWhite-Parameterization-tp4788p4798.html

Hi Toy,

the extended volatillity model is an implementation of the so called "Formula
7"  in Brigo/Mercurio,"Interest Rates Models", p. 208. It has an additional
weighting factor k_i for each period. (pls. s. commend in
lmextlinexpvolmodel.hpp 35) -> a bunch of new parameters, one should use the
LevenbergMarquardt optimizer. The constructors sets them all to one as a
starting point. Therefore you don''t see them within the parameter list of
the constructor.

Klaus

On Tuesday 06 June 2006 11:50 pm, Toyin Akin wrote:

> 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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