Fairmat repository1.9
Version date23.11.2018
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Swaption estimator

License: Free
Author: Fairmat srl

This plug-in allow you to calibrate the two factors Hull and White, and the Pelsser squared gaussian model to a series of observed swaptions prices. The plug-in does not use analytic approximations, but uses Monte Carlo simulation to evaluate the swaptions using one of the available models and fitting them to market data. This strategy permits to the plug-in to operate in a cross-model fashion allowing to be used also to calibrate other models.

Tags: calibration
Downloads: 1054