Re: [Quantlib-dev] Generalized Hull-White model problems

[Javit H. <ch...@vi...>]

I updated the generalized Hull White model and performed tests with
QL-1.0.1. Tests are successful. For some reason calibration takes longer
now. In the BermudanSwaption.cpp, I changed the optimization end criteria
down to 40 and 10 from 400 and 100 for the max iteration and stationary
iterations. This way, it takes shorter to calibrate.

I attached the files. The changes:

-- For some reason, parameter.hpp in QL-1.0.1 is not the same as trunk
version 17224. The trunk version is the correct one except the line 
145	        : Parameter(times.size()+1,


where the “+1” should go away.

-- The changes in GHW classes are only at the lines where a
PiecewiseConstantParameter class is initiated. The new parameter.hpp accepts
constraints at the initialization. I imposed positive constraints for both
the a_ and sigma_ parameters in the model.

Here are my suggestions:

-- Update the parameter.hpp in QL-1.0.1 as above.
-- Update the GHW model files with the ones attached. 
-- The BermudanSwaption.cpp test file can be modified as the one I attached
to include the GHW test in the test-suite.

The BermudanSwaption.cpp output from my laptop is below. I look forward to
your comments.

Thank you,
Javit



G2 (analytic formulae) calibration
1x5: model 10.05475 %, market 11.48000 % (-1.42525 %)
2x4: model 10.48803 %, market 11.08000 % (-0.59197 %)
3x3: model 10.67504 %, market 10.70000 % (-0.02496 %)
4x2: model 10.83340 %, market 10.21000 % (+0.62340 %)
5x1: model 10.98264 %, market 10.00000 % (+0.98264 %)
calibrated to:
a     = 0.099851, sigma = 0.010545
b     = 0.099851, eta   = 0.010545
rho   = -0.74998

Hull-White (analytic formulae) calibration
1x5: model 11.87889 %, market 11.48000 % (+0.39889 %)
2x4: model 11.76594 %, market 11.08000 % (+0.68594 %)
3x3: model 11.87495 %, market 10.70000 % (+1.17495 %)
4x2: model 11.88579 %, market 10.21000 % (+1.67579 %)
5x1: model 11.85322 %, market 10.00000 % (+1.85322 %)
calibrated to:
a = 0.10014, sigma = 0.0076919

Hull-White (numerical) calibration
1x5: model 10.31044 %, market 11.48000 % (-1.16956 %)
2x4: model 10.50842 %, market 11.08000 % (-0.57158 %)
3x3: model 10.62836 %, market 10.70000 % (-0.07164 %)
4x2: model 10.71895 %, market 10.21000 % (+0.50895 %)
5x1: model 10.81202 %, market 10.00000 % (+0.81202 %)
calibrated to:
a = 0.10014, sigma = 0.006877

Black-Karasinski (numerical) calibration
1x5: model 12.85815 %, market 11.48000 % (+1.37815 %)
2x4: model 13.11871 %, market 11.08000 % (+2.03871 %)
3x3: model 13.25333 %, market 10.70000 % (+2.55333 %)
4x2: model 13.33942 %, market 10.21000 % (+3.12942 %)
5x1: model 13.43137 %, market 10.00000 % (+3.43137 %)
calibrated to:
a = 0.08249, sigma = 0.1667

Generalized Hull-White calibration
1x5: model 11.16996 %, market 11.48000 % (-0.31004 %)
2x4: model 11.15188 %, market 11.08000 % (+0.07188 %)
3x3: model 10.87750 %, market 10.70000 % (+0.17750 %)
4x2: model 10.42011 %, market 10.21000 % (+0.21011 %)
5x1: model 9.78110 %, market 10.00000 % (-0.21890 %)
parameter[0] =, 0.04
parameter[1] =, 0.37449
parameter[2] =, 0.084144
parameter[3] =, 0.1
parameter[4] =, 0.24785
parameter[5] =, 0.053831
Payer bermudan swaption struck at 5.00000 % (ATM)
Generalized HW: 14.515
G2:       14.549
HW:       15.005
HW (num): 13.404
BK:       16.457
Payer bermudan swaption struck at 6.00000 % (OTM)
Generalized HW: 3.671
G2:       3.4158
HW:       3.6088
HW (num): 2.6985
BK:       5.6241
Payer bermudan swaption struck at 4.00000 % (ITM)
Generalized HW: 42.622
G2:       42.838
HW:       43.154
HW (num): 42.52
BK:       42.998

Run completed in 15 m 31 s

Press any key to continue . . .



Alexander Lotter wrote:
> 
> 
> 
> Javit Hafizoglu wrote:
>> 
>> I'm relocating. Lots of things to do. I'm planning to finish this update
>> by the end of June.
>> 
>> 
> 
> Hi Javit,
> 
> Great. I could assist you by tests. Just let me know, if you need any
> help.
> 
> Take care
> 
> Alex
> 
> 
http://old.nabble.com/file/p29303026/GHW.rar GHW.rar 
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