SSRN Home Search and Download Papers Browse Abstract and Paper Submission Subscribe to Networks View Briefcase Top Papers Top Authors Top Institutions

 

Abstract

  
 

References (32)

Beta

 		 


 


Download | Share | Email | Add to Briefcase | Buy Hard Copy

Smooth Simultaneous Calibration of the LMM to Caplets and Coterminal Swaptions

Ferdinando Ametrano
Banca IMI - Financial Engineering; QuantLib

Mark S. Joshi
University of Melbourne - Centre for Actuarial Studies

February 12, 2008


Abstract:     
We introduce a new calibration methodology that allows perfect fitting of the displaced diffusion LIBOR market model to caplets and co-terminal swaptions, whilst avoiding global optimizations. The approach works by regarding a forward rate as a difference of swap-rates and then bootstrapping through rates one by one.

Keywords: market model, calibration, Bermudan swaptions

JEL Classifications: G13

Working Paper Series

Date posted: February 15, 2008 ; Last revised: February 15, 2008

Suggested Citation

Ametrano, Ferdinando and Joshi, Mark S., Smooth Simultaneous Calibration of the LMM to Caplets and Coterminal Swaptions (February 12, 2008). Available at SSRN: http://ssrn.com/abstract=1092665


Export to: Export Citation What's this?

Contact Information

Mark Joshi (Contact Author)
University of Melbourne - Centre for Actuarial Studies ( email )
Melbourne Australia
Ferdinando Ametrano
Banca IMI - Financial Engineering ( email )
Corso Matteotti 6
Milano 20121
Italy
QuantLib ( email )
HOME PAGE: http://quantlib.org
Feedback to SSRN (Beta)


Paper statistics
Abstract Views: 2,218
Downloads: 985
Download Rank: 5,070
References: 32

© 2009 Social Science Electronic Publishing, Inc. All Rights Reserved. Terms of Use  Privacy Policy
This page was served by apollo 4 in 0.110 seconds.