b**a
发帖数: 1375 | 1 请教前辈: 俺初次接触interest model的calibration. 现在系统用swaptions做校准,
但是出来的结果在小的tenor的时候, 比如1yr, 误差都超过10%
可能是什么原因造成的啊? 如何改进? 多谢. | m*********g
发帖数: 646 | 2 you need to provide more details about the model you are using to predict
LIBOR. There are many of them. | b**a
发帖数: 1375 | 3 多谢多谢. model是BGM, calibration instruments是1*1到10*10的swaption
【在 m*********g 的大作中提到】
: you need to provide more details about the model you are using to predict
: LIBOR. There are many of them.
| m*********g
发帖数: 646 | 4 did you take care the correlations among Vol(i) ? I think this is the key.
【在 b**a 的大作中提到】
: 多谢多谢. model是BGM, calibration instruments是1*1到10*10的swaption
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