calibrate: Rate model calibration

In ArnaudBu/esg2: Esg Based on a G2++ Model

Description

calibrate calibrates the model on swaptions prices.

Usage

calibrate(.Object, swaptions, maxIter = 1000, input_param = "auto",
  monitor = TRUE)

Arguments

.Object	G2 object. The object whose model is to be projected.
swaptions	Swaptions. List of swaptions under the format of the class Swaption.
maxIter	Numeric. Max number of iterations for Nelder-Mead algorithm. Default to 1000.
input_param	Data.frame. Input parameters for optimization. It must have 4 columns of 5 rows each: #' "Parameter": always equals to c("a", "b", "sigma", "eta", "rho"). "Initial.point": Initial point for optimization. Default to c(0.1, 0.25, 0.05, 0.025, 0). "Min": Minimum admissible value for parameters. Default to c(0.001, 0.0001, 0.0001, 0.001, -1). "Max": Maximimu admissible value for parameters. Default to c(0.2, 0.5, 0.1, 0.05, 1).
monitor	Boolean. To display intermediary results. Default to TRUE.

Value

The calibrated model.

ArnaudBu/esg2 documentation built on Oct. 20, 2021, 10:01 a.m.