From: Klaus S. <kl...@sp...> - 2012-02-27 23:24:55
|
Hi Jonathan hard to tell w/o your code. The last argument of SwaptionHelper's constructor decides whether the calibration is carried out using case RelativePriceError: error = std::fabs(marketValue() - modelValue())/marketValue(); break; case PriceError: error = marketValue() - modelValue(); break; case ImpliedVolError: .. error = implied - volatility_->value(); If you don't supply a CalibrationErrorType then the default type "RelativePriceError" is used. hope this helps, Klaus On Monday 27 February 2012 23:31:28 Jonathan Budd wrote: > I'm new to QuantLib, and recently put together some code to calibrate > the Hull White model to swaption volatilities. Everything is working > well, but I'm left wondering whether the calibration is performed on > volatilities or prices. I've read through the code in the test suite > and the source code for CalibrationHelper, and I'm almost sure that > when calibrating the Hull White model to swaption volatilities, the > CalibrationHelper minimises the distance between model and input > volatilities, rather than prices. However, I'm yet to find a > definitive answer (either in a comment or line of code). > > Can anyone confirm or deny that this is the case? Save for modifying > the class, is there an easy way to set CalibrationHelper to calibrate > either way? > > Best regards > > > jb > > --------------------------------------------------------------------------- >--- Try before you buy = See our experts in action! > The most comprehensive online learning library for Microsoft developers > is just $99.99! Visual Studio, SharePoint, SQL - plus HTML5, CSS3, MVC3, > Metro Style Apps, more. Free future releases when you subscribe now! > http://p.sf.net/sfu/learndevnow-dev2 > _______________________________________________ > QuantLib-users mailing list > Qua...@li... > https://lists.sourceforge.net/lists/listinfo/quantlib-users |