Go to Deriscope's documentation start page


Calibration Method refers to List of the possible calibration methods supported by GSR Model
Available Calibration Method types:
Bootstrap Reversions
With fixed volatility calibrate the reversions one by one to the given helpers.
In this case the step dates must be chosen according to the maturities of the calibration instruments.
Bootstrap Vols
With fixed reversion calibrate the volatilities one by one to the given helpers.
It is assumed that that volatility step dates are suitable for this, i.e. they should be identical to the fixing dates of the helpers (except for the last one where we do not need a step).
Also note that the endcritera reflect only the status of the last calibration when using this method.