CapeTools LMM Calibration
http://www.QuantTools.com
In total there are 2 functions present within the CapeTools LMM Calibration category of functions.
General Description
Functions to calibrate the parameters of the Libor Market Model objects.
- CalibrateModelLFM() (Calibrates the linear exponential volatility parameters of a Forward Libor Market Model given a list of calibration instruments)
- CalibrateModelLFM_2() (Calibrates the linear exponential volatility parameters of a Forward Libor Market Model given a list of calibration instruments)
Parameters calibrated from the CalibrateModelLFM() and CalibrateModelLFM_2() functions can be passed to the LiborMarketModel() or LiborMarketModel2() functions.
Function list.
- CalibrateModelLFM - Calibrates the linear exponential volatility parameters of a Forward Libor Market Model given a list of calibration instruments.
- CalibrateModelLFM_2 - Calibrates the linear exponential volatility parameters of a Forward Libor Market Model.
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