Re: G2 model calibration

Posted by Kim Kuen Tang on Feb 06, 2009; 7:30pm
URL: http://quantlib.414.s1.nabble.com/G2-model-calibration-tp6980p6982.html

Luigi Ballabio schrieb:
>
> I think the model is built so that it fits the swap curve exactly, no
> matter the values of the parameters.  Am I wrong?
>
>  
No you are right. The swap curve is totally determined by the
yieldcurve. If the phi function in the g2 model is bootstrapped to the
yield curve, then you are able to recover the yield curve by pricing a
zero coupon bound.

Cheers,

Kim Tang


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