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Calibration Checkist

Posted: March 18th, 2021, 1:40 pm
by krs

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?


Re: Calibration Checkist

Posted: April 8th, 2021, 2:51 am
by mtsm
Don't just calibrate prices, also calibrate to derivatives of 1st and 2nd order. That's the real deal.