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

[Ashwani S. <ash...@gm...>]

Thanks Alix.

I saw another post with similar problem this morning which was useful, here
is the link
<https://quant.stackexchange.com/questions/59269/quantlib-calibrating-hull-white-one-factor-on-negative-interest-rates>

Updated the SwaptionHelper as you suggested (code below) and now it works.

helper = ql.SwaptionHelper(ql.Period(d.start, ql.Years),
                                   ql.Period(d.length, ql.Years),

 ql.QuoteHandle(ql.SimpleQuote(d.volatility)),
                                   ql.USDLibor(ql.Period(3, ql.Months),
term_structure),
                                   ql.Period('1Y'),
                                   ql.Actual360(),
                                   ql.Actual360(),
                                   term_structure,

 ql.BlackCalibrationHelper.RelativePriceError,
                                   ql.nullDouble(),
                                   1.0,
                                   ql.Normal,
                                   0.0,
                                   )

On Thu, Mar 4, 2021 at 6:16 AM Alix Lassauzet <ali...@gm...>
wrote:

> 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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