Re: [Quantlib-users] Caibrating HW 1F model to Swaption vol

[Alix L. <ali...@gm...>]

Hi,

The constructor of a SwaptionHelper object does not look correct to me.
Take a look on the 3 différents ways to instantiate this class:

C++
https://github.com/lballabio/QuantLib/blob/master/ql/models/shortrate/calibrationhelpers/swaptionhelper.hpp

Swig
https://github.com/lballabio/QuantLib-SWIG/blob/master/SWIG/calibrationhelpers.i

Alix


Le jeu. 4 mars 2021 à 02:44, Ashwani Singh <ash...@gm...> a
écrit :

> Looked into archeived messages but couldn't find anything relevant. I am
> trying to calibrate Hull White model using Goutam's code here
> <http://gouthamanbalaraman.com/blog/short-interest-rate-model-calibration-quantlib.html> with
> a tweak that instead of using flatForward term_structure, I am using
> ql.PiecewiseCubicZero(calc_date, bond_helpers, day_count) calibrated to US
> Treasuries.
>
> I suspect the error has to do with negative rates, but here is the piece
> of code which throws an error when I try running it
>
>     swaptions = []
>     index = ql.USDLibor(ql.Period(3, ql.Months), term_structure)
>
>     # Read US Swaptions vol data
>     CalibrationData = namedtuple("CalibrationData",
>                              "start, length, volatility")
>     data = [CalibrationData(1, 5, 0.1148),
>             CalibrationData(2, 4, 0.1108),
>             CalibrationData(3, 3, 0.1070),
>             CalibrationData(4, 2, 0.1021),
>             CalibrationData(5, 1, 0.1000 )]
>
>     for d in data:
>         vol_handle = ql.QuoteHandle(ql.SimpleQuote(d.volatility))
>         helper = ql.SwaptionHelper(ql.Period(d.start, ql.Years),
>                                    ql.Period(d.length, ql.Years),
>                                    vol_handle,
>                                    index,
>                                    index.tenor(),
>                                    day_count,
>                                    day_count,
>                                    term_structure,
>                                    ql.Normal,
>                                    )
>         helper.setPricingEngine(engine)
>         swaptions.append(helper)
>
>     optimization_method = ql.LevenbergMarquardt(1.0e-8,1.0e-8,1.0e-8)
>     end_criteria = ql.EndCriteria(10000, 100, 1e-6, 1e-8, 1e-8)
>     model.calibrate(swaptions, optimization_method, end_criteria)
>
>
> ---------------------------------------------------------------------------RuntimeError                              Traceback (most recent call last)<ipython-input-78-1c3c09dff89b> in <module>     24 model = ql.HullWhite(yield_curve_handle)     25 engine = ql.JamshidianSwaptionEngine(model)---> 26 alpha, sigma = calibrate_hullwhite(yield_curve_handle, engine, model, day_count)     27      28 # Generate HW simulation paths
> <ipython-input-77-cab060688d5e> in calibrate_hullwhite(term_structure, engine, model, day_count)     32     optimization_method = ql.LevenbergMarquardt(1.0e-8,1.0e-8,1.0e-8)     33     end_criteria = ql.EndCriteria(10000, 100, 1e-6, 1e-8, 1e-8)---> 34     model.calibrate(swaptions, optimization_method, end_criteria)     35      36     return model.params()
> ~\AppData\Local\anaconda3\lib\site-packages\quantlib-1.21-py3.8-win-amd64.egg\QuantLib\QuantLib.py in calibrate(self, *args)  11289 > 11291         return _QuantLib.CalibratedModel_calibrate(self, *args)
>
>   11290     def calibrate(self, *args):
>
> 11292 11293 def setParams(self, params): RuntimeError: strike +
> displacement (-0.0114291 + 0) must be non-negative
>
>
>
> Any suggestions would be appreciated.
>
> Thanks.
>
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