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

[Dmitri G. <dm...@ma...>]

Hi Mark,


The error is coming from LM optimiser. You should reduce number of points
in your vol surface or add more calibration instruments or add some sort of
regularisation.

Kind regards,
Dmitri.

On Mon, 22 Aug 2022, 17:26 Daniel, <gr...@gm...> wrote:

> 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
>
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