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Re: [Quantlib-users] [EXT] Re: Forward CMT rates from G2++ calibrated model for OAS model
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From: Philippe H. <phi...@ex...> - 2024-01-30 13:35:43
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<html><head><meta http-equiv="content-type" content="text/html; charset=utf-8"></head><body dir="auto">Thank you. I looked at it and it’s great. His post-calibration simulation on HW is done in Python though so performance will be an issue. Thence my asking if there were routines existing in C++.<div><br><div>Thank you.<br><div><br id="lineBreakAtBeginningOfSignature"><div dir="ltr">Regards<div><br></div><div>Philippe Hatstadt</div><div>+1-203-252-0408</div><div><br></div></div><div dir="ltr"><br><blockquote type="cite">On Jan 30, 2024, at 7:24 AM, Luigi Ballabio <lui...@gm...> wrote:<br><br></blockquote></div><blockquote type="cite"><div dir="ltr"><div dir="ltr">Hi, not much is already existing, I'm afraid. You can have a look at Goutham's post at <a href="https://gouthamanbalaraman.com/blog/hull-white-simulation-quantlib-python.html">https://gouthamanbalaraman.com/blog/hull-white-simulation-quantlib-python.html</a> (also in the cookbook if you have it) for a few ideas; he generates interest-rate paths based on a Hull/White model, but something similar should work for G2 as well.<div><br></div><div>Hope this helps,</div><div> Luigi</div><div><br></div></div><br><div class="gmail_quote"><div dir="ltr" class="gmail_attr">On Wed, Jan 24, 2024 at 8:03 PM Philippe Hatstadt <<a href="mailto:phi...@ex...">phi...@ex...</a>> wrote:<br></div><blockquote class="gmail_quote" style="margin:0px 0px 0px 0.8ex;border-left:1px solid rgb(204,204,204);padding-left:1ex"><div dir="ltr"><div>I was able to calibrate a G2++ model to normal UST swaption volatilities (heroically using SOFR swaptions and re-scaling by rates ratio to generate so-called Treasury Swaption vol surface).</div><div>Code is below:</div><div><br></div><div>model = G2(term_structure);<br># engine = TreeSwaptionEngine(model, 25)<br># engine = ql.G2SwaptionEngine(model, 10, 400)<br>engine = ql.FdG2SwaptionEngine(model)<br>swaptions = create_swaption_helpers_normal(data, index, term_structure, engine)<br>optimization_method = LevenbergMarquardt(1.0e-8,1.0e-8,1.0e-8)<br>end_criteria = EndCriteria(1000, 100, 1e-6, 1e-8, 1e-8)<br>model.calibrate(swaptions, optimization_method, end_criteria)<br></div><div>a, sigma, b, eta, rho = model.params()\<br></div><div><br></div><div>The question now is as follows: I want to use this model towards a GNMA OAS model for which I would need monte-carlo paths of 2y/5y/10y forward CMT rates spaced say monthly.</div><div><br></div><div>I assume that I would first need to use the 5 G2++ parameters calibrated above and then generate paths of the short rate, then somehow compute forward CMT at each forward monthly epoch Ti by computing the break-even coupon C10(Ti) such that PV(Ti, bond(cpn=C10(Ti)) == 100?</div><div>Are there existing QL classes or modules that do all that from a given calibrated model like above?</div><div>By the same token, I would also need stochastic pathwise discount factor vectors DF(Ti, path j), i=0 to 30y monthly. Is there also a QL module that generates those? I can obviously do it manually, but I am on the python side, so I want to re-use as much of existing libraries as I can to use efficient C++ code indirectly via SWIG.</div><div><br></div><div>Regards </div><br clear="all"><div><div dir="ltr" class="gmail_signature"><div dir="ltr">Philippe Hatstadt</div></div></div></div> <br> <p dir="ltr" style="line-height:1.38;background-color:rgb(239,239,239);margin-top:0pt;margin-bottom:0pt"><span style="font-size:11pt;font-family:Arial;color:rgb(0,0,0);background-color:transparent;vertical-align:baseline;white-space:pre-wrap">1370 Broadway, Suite 1450 | New York, NY | 10018</span></p><p dir="ltr" style="line-height:1.38;background-color:rgb(239,239,239);margin-top:0pt;margin-bottom:0pt"><span style="font-size:11pt;font-family:Arial;color:rgb(0,0,0);background-color:transparent;vertical-align:baseline;white-space:pre-wrap"><a href="https://www.exosfinancial.com/" target="_blank"><img src="https://exos-website-media.s3.amazonaws.com/Disclosures/img1.jpg" alt="https://www.exosfinancial.com/" data-unique-identifier=""></a> <a href="https://www.linkedin.com/company/meetexos/about/" target="_blank"><img src="https://exos-website-media.s3.amazonaws.com/Disclosures/img3.jpg" alt="https://www.linkedin.com/company/meetexos/about/" data-unique-identifier=""></a> <br></span></p><p dir="ltr" style="line-height:1.38;background-color:rgb(239,239,239);margin-top:0pt;margin-bottom:0pt"><span style="font-size:11pt;font-family:Arial;color:rgb(0,0,0);background-color:transparent;vertical-align:baseline;white-space:pre-wrap">Broker-Dealer services offered through Exos Securities LLC, Member SIPC, FINRA. 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