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by Kiri
November 29th, 2010, 2:24 pm
Forum: Technical Forum
Topic: Calibration of Cheyette / Quasi Gaussian short rate model
Replies: 30
Views: 41503

Calibration of Cheyette / Quasi Gaussian short rate model

Hi piterbarg, Costeanu,thank you very much for your help. The model is implemented, calibrated and tested. Everything is as I wanted it to be. Without your help this would not have been possible.Kind Regards. Kiri
by Kiri
November 10th, 2010, 2:19 pm
Forum: Technical Forum
Topic: Calibration of Cheyette / Quasi Gaussian short rate model
Replies: 30
Views: 41503

Calibration of Cheyette / Quasi Gaussian short rate model

<t>Hi Costeanu,thanks again for your help. I am now trying to price Swaptions using my simulated scenarios. To do this, I calculate the payoff as max(S(T_0)-c,0)*A(T_0), where T_0 is the SwaptionMaturity, S is the Swap Rate and A is the Annuity Process. Then I discount the Payoff using the determini...
by Kiri
November 5th, 2010, 2:03 pm
Forum: Technical Forum
Topic: Calibration of Cheyette / Quasi Gaussian short rate model
Replies: 30
Views: 41503

Calibration of Cheyette / Quasi Gaussian short rate model

<t>Hi again,thank you very much for your answers. I definitely wouldn't have come so far without you.By now I was able to approximate swaption prices in a Gaussian model using chapter 10.1.3. But I think the formulas in chapters 13.1.3 and 13.1.4 are too complicated for my purposes. As Costeanu alre...
by Kiri
November 4th, 2010, 2:11 pm
Forum: Technical Forum
Topic: Calibration of Cheyette / Quasi Gaussian short rate model
Replies: 30
Views: 41503

Calibration of Cheyette / Quasi Gaussian short rate model

<t>Hi Costeanu, Hi piterbarg,I have tried to work through the corresponding chapters in the A&P, but I am still not able to calibrate my model.I have strated with chapter 10.1.3 for the Gaussian case.The part with the Jamshidian decomposition is quite clear to me,but I have problems with the app...
by Kiri
November 3rd, 2010, 9:46 am
Forum: Technical Forum
Topic: Calibration of Cheyette / Quasi Gaussian short rate model
Replies: 30
Views: 41503

Calibration of Cheyette / Quasi Gaussian short rate model

<t>Hi piterbarg,Thank you very much for your answer. Your book is already lying on my desk (only Volume II). I studied the chapter on linear local volatility in the last week and wasn't able to figure out how to ensure non-negative rates. But after having opened this thread, I have found another sou...
by Kiri
November 3rd, 2010, 7:25 am
Forum: Technical Forum
Topic: Avoid negative interest rates in Hull White model
Replies: 12
Views: 35957

Avoid negative interest rates in Hull White model

<r>Hi everyone and especially Hi Costeanu,I have started to implement the quasi Gaussian model and I have come to a point, where I can get no further. I cannot figure out, how to force interest rates to be non-negative. Could you please help me in the following thread:<URL url="http://wilmott.com/me...
by Kiri
November 3rd, 2010, 7:19 am
Forum: Technical Forum
Topic: Calibration of Cheyette / Quasi Gaussian short rate model
Replies: 30
Views: 41503

Calibration of Cheyette / Quasi Gaussian short rate model

<t>Hi everyone,I would be glad if anyone could help me with the following:I am trying to calibrate the quasi Gaussian model (with linear local vola) and try to produce non-negative interest rates in the meantime.where kappa_t, lambda_t, b_t and alpha_t are deterministic functions, x_0=y_0=0.Which pa...
by Kiri
October 23rd, 2010, 7:17 am
Forum: Technical Forum
Topic: Avoid negative interest rates in Hull White model
Replies: 12
Views: 35957

Avoid negative interest rates in Hull White model

Hi Costeanu,Thanks again for your answer.I have ordered the book now and will start implementing the Model very soon. Perhaps there may arise new questions. I would be happy if you could help me again once new problems appear.Regards, Kiri
by Kiri
October 21st, 2010, 7:07 am
Forum: Technical Forum
Topic: Avoid negative interest rates in Hull White model
Replies: 12
Views: 35957

Avoid negative interest rates in Hull White model

<t>Thank you so much for your answers.I think, I will buy the A&P Vol. II and the book suggested by Cuchulainn and go for the Cheyette model implementation.My new plan is to implement the model completely new in VBA or Matlab using parts of my old HW-implementation. I would then follow the follo...
by Kiri
October 20th, 2010, 1:13 pm
Forum: Technical Forum
Topic: Avoid negative interest rates in Hull White model
Replies: 12
Views: 35957

Avoid negative interest rates in Hull White model

<t>Hi Costeanu,thank you very much for your answer. But I still have lots of questions. So I would be happy about every answer I receive.The Cheyette Model sounds quite complicated to me and I have not found a lot about it in the web. So I would have to buy the A&P (Volume II, right?), which is ...
by Kiri
October 19th, 2010, 8:26 am
Forum: Technical Forum
Topic: Avoid negative interest rates in Hull White model
Replies: 12
Views: 35957

Avoid negative interest rates in Hull White model

<t>Hi everyone.I am using a one Factor HW model to simulate spot rates. Unfortunately the HW model leads to negative rates. I am planning to adapt the procedure I am currently using, changing to another model which doesn?t lead to negative interest rates.Current calibration method:? Calibrate to mar...