Posted by
MikeD on
Oct 25, 2011; 4:06pm
URL: http://quantlib.414.s1.nabble.com/CtsmmCapletCalibration-question-tp6222.html
Hello everyone,
Am I looking at this code correctly? Looks like I pass market caplet
vols, market swaption vols, curve reference (CurveState), and a
correlation object, and it solves for best fit caplet or swaption vols
depending on the users choice of "Caplet0Swaption1Priority"?
Basically, I have swaption vols and some caplet vols (out to 2y
expiry), but I need to find the proper (fitted) term structure for all caplets
(say, out to 35 years). I think this is the right class in QL to be
using, but wanted to double check. I'm not very well versed in C++, so hopefully someone on the mailing list can help me out here.
Also, are there any research papers that would explain the
underlying process of this model? It seems like a variation of LMM, but
don't see any mention of it specifically in Rebonatto, etc.
Thanks in advance for any help,
Mike DelMedico
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