Re: [Quantlib-users] Calibration short rate models

[Amine I. <ami...@gm...>]

Hi, 


Per my own experience, I could run calibrations on short rates - Gaussian 2F - assuming LogLinear interpolated zero curve built from Ibor instruments. In my case, the deterministic shift in the G2 model is calibrated to replicate the initial full term structure, so it is agnostic as to how you build the initial curve.

Hope this helps,

Regards,
Amine


> On 23 Sep 2020, at 10:21, oyvfos--- via QuantLib-users <qua...@li...> wrote:
> 
> Hi, 
> It seems to be common practice to use a flat forward rate when calibrating the short rate models using QuantLib (example <https://github.com/lballabio/QuantLib/blob/940a3b4db517ebae000e968875e7d0483ac901a4/test-suite/shortratemodels.cpp>). What is the explanation for that? Is there any rationale for choosing a specific forward term? Using the full term structure yields quite different results. I am a bit confused. Thanks 
> 
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