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willshaw
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Joined: May 15th, 2007, 4:38 am

separable volatility specification

July 8th, 2008, 1:09 pm

In Cheyette model, the CEV specification in literature is only calibrated to a series of ATM swaption vol of core swap rates. Is there any other specification or method that we can calibrate to the whole smile curve? Like the smile curve for a particular swap rate or the smile of caplet?Thanks guys.
 
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willshaw
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Joined: May 15th, 2007, 4:38 am

separable volatility specification

August 5th, 2008, 11:40 am

No one knows?