[Quantlib-dev] Fitting parameter for g2++

[Lars S. <sch...@ya...>]

First of all thank you for a great library.

 

Can some one walk me through a rough solution fixing the a, b and rho parameters when calibrating using the g2++ model?

The Simplex optimization does not find the expected solution for yen Swaption volatility surfaces.

 

% I tries to keep the constraints inside of my required range but this fails. It looks as if this is not picket up correctly in the optimizer when calibrating.

% optimizer does not deliver the expected values if keeping a, b and rho constant. So that would mean that I would have to add some kind of other optimization that does not use all 5 parameters but only 2 (sigma and eta)

 

What would be a suitable solution for this problem?

 

Regards

Lars Schouw


		
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