Posted by
Luigi Ballabio on
Feb 06, 2009; 2:17pm
URL: http://quantlib.414.s1.nabble.com/G2-model-calibration-tp6980p6981.html
On Wed, 2009-02-04 at 19:54 +0000, Andrea Loddo wrote:
> 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 think the model is built so that it fits the swap curve exactly, no
matter the values of the parameters. Am I wrong?
Luigi
--
Steinbach's Guideline for Systems Programming:
Never test for an error condition you don't know how to handle.
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