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krs
Topic Author
Posts: 20
Joined: August 20th, 2019, 12:40 pm

Calibration Checkist

March 18th, 2021, 1:40 pm

Hello, 

Is there any standard calibration-checklist for the calibration of interest rate models? 

I am checking convergence of the optimization algorithm, errors in prices, errors in volatility, price bias and volatility bias. Is it sufficient?

thanks,
K
 
User avatar
mtsm
Posts: 353
Joined: July 28th, 2010, 1:40 pm

Re: Calibration Checkist

April 8th, 2021, 2:51 am

Don't just calibrate prices, also calibrate to derivatives of 1st and 2nd order. That's the real deal.