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Hi,
For my credit & interest rate risk course I am calibrating and modeling the G2++ short rate model. Using quantlib, I found that it is usually calibrated with swaption volatilities. Saw on a stackexchange post that some kind persons can provide such data here, given that it is pretty much impossible to find it online, for educational purposes only. My index is the eurlibor 3M.
Thank you very much.
Source: python quantlib g2++ calibration Short Interest Rate Model Calibration in QuantLib Python
For my credit & interest rate risk course I am calibrating and modeling the G2++ short rate model. Using quantlib, I found that it is usually calibrated with swaption volatilities. Saw on a stackexchange post that some kind persons can provide such data here, given that it is pretty much impossible to find it online, for educational purposes only. My index is the eurlibor 3M.
Thank you very much.
Source: python quantlib g2++ calibration Short Interest Rate Model Calibration in QuantLib Python