[Calibration] A Stochastic Volatility Forward Libor Model with a Term Structure of Volatility Smiles

Jonathan81 · March 5th, 2008, 10:31 am

Hello,i have a little question about calibration on this article.Mr Piterbarg explains that the equation for swaptions volatiliies involves and model skews . But i don't see where in the equation of swaptions volatilities model skews Beta(t,n) is involved ?I thought in the function g(x) but it's depend on the swaption skew b*(n,m) which is constant and not Beta(t,n)ThxRegards Edit : in fact i have found a little mistake in this article for the skew weight p8, pi(n,m) := pi(n,m) /(m-n)