CapeTools IR Calibration

CapeTools IR Calibration

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In total there are 12 functions present within the CapeTools IR Calibration category of functions.

General Description

Functions to calibrate the parameters of the interest rate model objects.

The interest rate calibrations are conducted via the following functions.

CalibrateModelG2() (Calibrates the parameters of a G2 interest rate ShortRateModel via a G2 2 Factor Swaption Engine)

CalibrateModelG2_2() (Calibrates the parameters of a G2 interest rate ShortRateModel via a G2 2 Factor Swaption Engine)

CalibrateModelJAM() (Calibrates the parameters of an interest rate ShortRateModel (ie HullWhite, Vasicek) via a Jamshidian Swaption Engine)

CalibrateModelJAM_2() (Calibrates the parameters of an interest rate ShortRateModel (ie HullWhite, Vasicek) via a Jamshidian Swaption Engine)

CalibrateModelOSTree() (Calibrates the parameters of an interest rate ShortRateModel (ie BlackKarasinski, HullWhite, Vasicek, G2) via a Tree Swaption Engine)

CalibrateModelOSTree_2() (Calibrates the parameters of an interest rate ShortRateModel (ie BlackKarasinski, HullWhite, Vasicek, G2) via a Tree Swaption Engine)

CalibrateModelCFTree() (Calibrates the parameters of an interest rate ShortRateModel (ie BlackKarasinski, HullWhite, Vasicek, G2) via a Tree CapFloor Engine)

CalibrateModelCFTree_2() (Calibrates the parameters of an interest rate ShortRateModel (ie BlackKarasinski, HullWhite, Vasicek, G2) via a Tree CapFloor Engine)

CalibrateModelCFAnalytic() (Calibrates the parameters of an interest rate ShortRateModel (ie HullWhite, Vasicek, G2) via a Analytical CapFloor Engine)

CalibrateModelCFAnalytic_2() (Calibrates the parameters of an interest rate ShortRateModel (ie HullWhite, Vasicek, G2) via a Analytical CapFloor Engine)

CalibrateModelCFOS() (Calibrates the parameters of an interest rate ShortRateModel (ie BlackKarasinski, HullWhite, Vasicek, G2) via various user defined pricing engines)

CalibrateModelCFOS_2() (Calibrates the parameters of an interest rate ShortRateModel (ie BlackKarasinski, HullWhite, Vasicek, G2) via various user defined pricing engines)

Function list.

CalibrateModelCFAnalytic - Calibrates the parameters of an interest rate ShortRateModel (ie HullWhite, Vasicek, G2) via a Analytical CapFloor Engine, given a list of calibration instruments.
CalibrateModelCFAnalytic_2 - Calibrates the parameters of an interest rate ShortRateModel (ie HullWhite, Vasicek, G2) via a Analytical CapFloor Engine, given a floating leg object.
CalibrateModelCFOS - Calibrates the parameters of an interest rate ShortRateModel (ie BlackKarasinski, HullWhite, Vasicek, G2) via various user defined pricing engines and two lists of calibration instruments.
CalibrateModelCFOS_2 - Calibrates the parameters of an interest rate ShortRateModel (ie BlackKarasinski, HullWhite, Vasicek, G2) via various user defined pricing engines and a floating leg object.
CalibrateModelCFTree - Calibrates the parameters of an interest rate ShortRateModel (ie BlackKarasinski, HullWhite, Vasicek, G2) via a Tree CapFloor Engine, given a list of calibration instruments.
CalibrateModelCFTree_2 - Calibrates the parameters of an interest rate ShortRateModel (ie BlackKarasinski, HullWhite, Vasicek, G2) via a Tree CapFloor Engine, given a floating leg object.
CalibrateModelG2 - Calibrates the parameters of a G2 interest rate ShortRateModel via a G2 2 Factor Swaption Engine, given a list of calibration instruments.
CalibrateModelG2_2 - Calibrates the parameters of a G2 interest rate ShortRateModel via a G2 2 Factor Swaption Engine, given a floating leg object.
CalibrateModelJAM - Calibrates the parameters of an interest rate ShortRateModel (ie HullWhite, Vasicek) via a Jamshidian Swaption Engine, given a list of calibration instruments.
CalibrateModelJAM_2 - Calibrates the parameters of an interest rate ShortRateModel (ie HullWhite, Vasicek) via a Jamshidian Swaption Engine, given a floating leg object.
CalibrateModelOSTree - Calibrates the parameters of an interest rate ShortRateModel (ie BlackKarasinski, HullWhite, Vasicek, G2) via a Tree Swaption Engine, given a list of calibration instruments.
CalibrateModelOSTree_2 - Calibrates the parameters of an interest rate ShortRateModel (ie BlackKarasinski, HullWhite, Vasicek, G2) via a Tree Swaption Engine, given a floating leg object.

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