pricing_heston_calibration | Calibrates a Heston (or Bates, piecewise time-dependent Heston, GJR-GARCH) model to implied-volatility quotes by expiry and strike with a chosen optimiser, optionally holding some parameters fixed. | |
pricing_short_rate_calibration | Calibrates a short-rate model (Hull-White, Black-Karasinski, G2++, Vasicek, CIR, extended CIR, or GSR step volatilities) to ATM swaption and cap volatilities (normal or lognormal) on the curve, with a chosen optimiser and optionally fixed parameters. | |
pricing_short_rate_model | Analytics of a short-rate model with given parameters: model discount factors and zero yields at maturities (the curve for fitted models, the model’s own curve for Vasicek and CIR), European options on zero-coupon bonds, the Hull-White futures convexity bias, and the mean and standard deviation of the short rate over time for Hull-White. | |
