SciCalibrator: Derivatives pricing model calibration

SciCalibrator is a module of SciFinance for generating C/C++ cross asset pricing model calibration routines. Essentially a calibration framework, one simply specifies the pricing model you want to calibrate, select a pricing model for your underlying calibration instruments (use one of the provided analytical pricers, your own analytical pricer or a SciFinance generated PDE or SDE pricing model) and your calibration data sets (includes utilities for reading and preprocessing market data).

SciCalibrator does the rest by automating the programming task to produce fully documented C/C++ source code or a Microsoft Excel spreadsheet and add-in.

The SciCalibrator-generated source code may be integrated with a pricing model or used as a standalone calibration routine.

Cross-asset calibration framework

SciCalibrator comes with a broad range of calibration specifications including:

CB/Equity/FX/Commodity Calibration:

• Local volatility
• CEV (including time dependence)
• Heston SV+ jumps

Energy Derivative Calibration:

• Schwartz (1997), Gabillon (1991)
• Stochastic vol extensions

Generic Short Rate Calibration:

• Single and multi-factor Gaussian models (e.g. G1,HW,EEV,BK,CIR)

LMM Calibration:

• Exact fit to caps and least square fit of parameterized correlation matrix of swaptions
• Stochastic volatility extensions

Credit Calibration:

• Survival probabilities/hazard rates from credit spreads
• Base correlation calibration
• Semi-analytic implied base correlation calibration including indexed based structures (e.g., DJ Itraxx, etc.)
  
  

SciCalibrator Benefits:

• Supports a broad range of calibration models, including cross-asset class model calibration
• Generates C/C++ model source code
• Includes over a dozen analytical pricers for calibration instruments
• Calibration routines may utilize SciFinance generated PDE or MC pricing models for underlying calibration instruments
• Provides utilities for reading and preprocessing market data

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