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Help: calibrate Hull-White model

featips

Joined
2/26/09
Messages
76
Points
16
Hello,

I am doing a MFE course project involving Hull-White short rate model.

(dr=[\theta(t)-a\cdot r]dt+\sigma dW\(t\))

Currently we are assuming (a) and (\sigma) are constants and plan to use market swaption data to calibrate the model to obtain these two parameters.

For H-W model, there are analytical formula which can be used for calibration. I am planning to use the formula and swaption data collected from Bloomberg to do calibration by Levenberg-Marquardt optimization.

Now, I have a few questions:

(1) I already collected Bloomberg data using 'USSW' command, as following

bfm730.gif


Those analytical formula generally include a term of strike (K). However, on this screen snapshot, I can not see strike data. Anyone can give me some hints about how to use these Bloomberg data?

(2) Is there a Bloomberg command that has similar function as 'USSW' but works for Sterling?

Thanks a lot for your help.

Regards,
Derek
 
As for the strike, swaption vols are quoted ATM. So the strike for each of these is the forward par swap rate at the option expiry date for the tenor specified on the contract.

BB also offers "vol cube" data--Black implied vols for options at a selection of expiries, tenors, and strikes, but I'm not sure of the provenance of this data, and we don't use it here. ATM is where the liquidity is in this market, and I'm unsure what the depth is for these odd strikes.

As for other currencies, you should expect basically the same info available for all majors. I don't have the keystrokes handy, but it should be a matter of a few minutes' research on the terminal.
 
Definitely ask the help desk -- that's the kind of question they can answer. Press "help" twice.

Also try "Related functions" at the top of the screen.

Also try typing in your search terms and waiting for the drop down OR hit the "Help" button in the upper right corner and explore the results from your search terms.
 
doug reich said:
Definitely ask the help desk -- that's the kind of question they can answer. Press "help" twice.

Also try "Related functions" at the top of the screen.

Also try typing in your search terms and waiting for the drop down OR hit the "Help" button in the upper right corner and explore the results from your search terms.
Click to expand...

Thanks for replying.

I communicated with Bloomberg help desk, and was told that 'he/she have no idea about this.' Really not confident about Bloomberg's help desk.
 
Hi Bob,

Thanks for your reply. I think you are right, since a quant from the company (we are doing project for this company) told me that the stike shall be the forwared rate at the time of option expiration, whcih is same as what you said. Thanks a lot.



bob said:
As for the strike, swaption vols are quoted ATM. So the strike for each of these is the forward par swap rate at the option expiry date for the tenor specified on the contract.

BB also offers "vol cube" data--Black implied vols for options at a selection of expiries, tenors, and strikes, but I'm not sure of the provenance of this data, and we don't use it here. ATM is where the liquidity is in this market, and I'm unsure what the depth is for these odd strikes.

As for other currencies, you should expect basically the same info available for all majors. I don't have the keystrokes handy, but it should be a matter of a few minutes' research on the terminal.
Click to expand...
 
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