G2 model calibration

Posted by andrea loddo-2 on Feb 04, 2009; 7:54pm
URL: http://quantlib.414.s1.nabble.com/G2-model-calibration-tp6980.html

Hi,

Let us suppose that I would like to calibrate the G2 model by using the swap rate curve instead of caps or swaptions. The reason for that is that I am not interested in pricing any derivative but instead I just want to see how the model fits the swap rate curve.

I am just wondering whether this makes sense and whether it is possible to calibrate the model by using the existing technology and implementing a suitable class that derives from CalibrationHelper.

Thanks

Andrea

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