Re: Calibration for the LFM parameters?

Posted by Toyin Akin on
URL: http://quantlib.414.s1.nabble.com/Lfm-HullWhite-Parameterization-tp4788p4799.html


Hi,

Okay, Give me a few days to integrate this in and recheck my previous and
new results.

Glad to see the rho and beta parameters within the new correlation model...

How's it going on the forward stuff...?

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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