[Quantlib-users] how to calibrate GSR model based on european swaption vol surface

[Daniel <gr...@gm...>]

All,

Please forgive me if someone has answered a similar question before.

I am trying to calibrate interest rate vol surface using GSR (gaussian
short rate model) based on this post
http://gouthamanbalaraman.com/blog/short-interest-rate-model-calibration-quantlib.html

and I found a python example for GSR model calibration.
https://github.com/mlungwitz/notebooks/blob/master/GSR_Example.ipynb

What I tried to do is to calibrate the same european swaption vol surface
in the 1st python example based on 2nd example gsr model specification,
what I added is:
gsr  = ql.Gsr(term_structure,stepDates, sigmas,reversions);
engine = ql.Gaussian1dSwaptionEngine(gsr, 64, 7.0, True, False,
term_structure)
swaptions = create_swaption_helpers(data, index, term_structure, engine)

optimization_method = ql.LevenbergMarquardt(1.0e-8,1.0e-8,1.0e-8)
end_criteria = ql.EndCriteria(1000, 100, 1e-6, 1e-8, 1e-8)
model.calibrate(swaptions, optimization_method, end_criteria)

But this will give me this error:

RuntimeError: less functions (5) than available variables (12)

Is the error caused by Gaussian1dSwaptionEngine? Should I proceed with
Gaussian1dNonstandardSwaptionEngine? What change should I do to make
it work ?


Thanks,

Mark