Re: [Quantlib-users] Calibration short rate models

[<oy...@ya...>]

Hi Amine,

Thanks for your reply. If I understand you correctly the parameters resulting from the calibration using swaptions would not be sensitive to the term structure? The calibration results I get are very sensitive to the term structure.  I am also using a shift to reproduce the term structure once the parameters are estimated. Unless I can confirm that the calibrated parameters are insensitive to the term structure, I will have to know why it is common to use a flat structure.



Van: Amine Ifri <ami...@gm...>
Verzonden: woensdag 23 september 2020 11:31
Aan: oy...@ya... <oy...@ya...>
CC: qua...@li... <qua...@li...>
Onderwerp: Re: [Quantlib-users] Calibration short rate models

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...<mailto: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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