[Quantlib-users] Calibrating short-rate models on zero-coupon bonds

[Hamed H. <hel...@gm...>]

Hello,

I am trying to use the QuantLib package in Python for calibrating
term-structure models in order to forecast upcoming yield curves. I
reviewed these instructions on calibrating the short rate models:

http://gouthamanbalaraman.com/blog/short-interest-rate-model-calibration-quantlib.html

You have shown calibrating HW model using swaption data. What I am trying
to do is using zero-coupon bond yield curves to calibrate the Vasicek
model. The data is retrieved from this page:

https://www.bankofcanada.ca/rates/interest-rates/bond-yield-curves/

However, I could not map what you have in the instructions to what I need
in my task. For example, I cannot figure out what function should I use
instead of *SwaptionHelper*. Generally, I am having a hard time
understanding helpers and their purpose.
Also, I could not find any docs for *model.calibrate**()* method.

P.S.: I got this feedback that using vanilla zero-coupon bond yields for
calibrating models will not give a good estimation of volatility. I need to
use instruments with some optionality in order to calibrate the volatility.
Could please comment on this. I cannot understand the reason behind this
clearly.

Best,
Hamed.