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#6234
mirov
Participant

Hi,

I apologize for title not being representative of the question I am going to ask, but this is the consequence of me having problems to post on the forum. Thanks Jerome for helping me out.

I have the question regarding the mean reversion calibration in the LGM model. It seems that the proposed way in ORE to go about this is to use the global calibration. Let’s suppose that we have a constant mean reversion and piecewise constant volatility. Given that the alpha times (volatility term) are fixed to the swaption expiries, am I being right in saying that for the mean reversion calibration to work by calling model_->calibrate(args) function, we need to provide at least two tenors for the same expiry in the simulation config file? Otherwise, the error will pop out given that Levenberg-Marquardt algorithm requires having more calibration points than the number of free parameters. My suggestion is that this should be checked before calling model_->calibrate(args) function.

Kind regards,
Miro