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Hi, I am planning to implement Pitergarg’s term structure stochastic vol model base on his paper “Time to Smile”. I wonder if anybody has implemented the model? How is the calibration speed of this model? Let’s say, for a 5 years fx deal, how long will it take? Any advice and suggestion with respect this model are greatly appreciated.Thank you guys

Yes, we implemented the model. Speed of calibration depends on your implementation To give you an idea: Calibrating a model for the next 50 yearstakes roughly 5 minutes. The homogenization in the model is a bit tricky, see a previous thread.

Pls, can you upload a copy of this paper.

Here is the paper.