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Peter Caspers

Hi, that’s correct. At the moment the calibration of the JY model in the scripted trade pricing engine is limited to using ATM CPI Cap / Floors to determine the CPI process volatility and using a hardcoded real rate volatility. It is generally easy to add more calibration strategies. What exactly do you have in mind, i.e. which calibration instruments do you want to use for the joint calibration of CPI and real rate volatilities?

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