Abstract
In this section, we consider an example of calibration to Euro market data as of October 7, 2004. Precisely, we test the performance of the JY model and the two market models as far as the calibration to inflation-indexed swaps is concerned, with some model parameters being previously fitted to at-the-money (nominal) cap volatilities. The zero-coupon and year-on-year swap rates we consider are plotted in Figure 16.1.
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© 2006 Springer-Verlag Berlin Heidelberg
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(2006). Calibration to market data. In: Interest Rate Models — Theory and Practice. Springer Finance. Springer, Berlin, Heidelberg. https://doi.org/10.1007/978-3-540-34604-3_18
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DOI: https://doi.org/10.1007/978-3-540-34604-3_18
Publisher Name: Springer, Berlin, Heidelberg
Print ISBN: 978-3-540-22149-4
Online ISBN: 978-3-540-34604-3
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