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G2++ calibration in practice, speed and accuracy
I have done some search on the forum and found some hints on how to perform the calibration. In particular I am using the Levenberg-Marquardt algorithm to calibrate the G2 model to ATMF swaption prices under the Schrager 2006 approximation. I just wonder if anyone can share some experience on how good the fitting is and how long it should take, I have implemented the calibration on VBA and Matlab and they are both really slow...Thanks in advance.
G2++ calibration in practice, speed and accuracy
In my experience the function "lsqnonlin" with the 'trust-region-reflective' algorithm is the most robust in Matlab. With 'trust-region-reflective' algorithm you must impose bound constraints. The calibration speed to swaption prices of G2++ (computed with the exact formula by Brigo-Mercurio) improves compared to the 'levemberg-marquardt' algorithm.A
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- Cuchulainn
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G2++ calibration in practice, speed and accuracy
The ML algorithm in alglib library (C#) for swaption calibration and might be helpful, and fast. (soon to be published)ML
Last edited by Cuchulainn on September 3rd, 2012, 10:00 pm, edited 1 time in total.