SciCalibrator: Derivatives pricing model calibration

SciCalibrator is an optional component of SciFinance for developing custom calibration models. Simply specify your calibration problem at a high level, select an analytical pricing model from the provided library of routines and then generate the corresponding source code.

Alternatively, you may use an in-house developed analytic or PDE-based routine) and SciCalibrator does the rest by automating the programming task to produce fully documented C/C++ source code or Microsoft Excel spreadsheets and add-ins.

Ultimate flexibility * Custom source code

For users who want to build and implement their own calibration routines SciCalibrator allows infinite flexibility. The SciCalibrator-generated source code may be integrated with a pricing model or used as a standalone calibration routine. SciCalibrator is well suited for nested and cross-asset calibration problems, such as credit calibration where both interest and hazard rates are considered.

Deep support * Multi-asset class model calibration

SciCalibrator provides calibration routines for equity/FX/commodity models including many parameterized local volatility, stochastic volatility (with and without jumps), and pure jump models; generic short rate models (including popular Gaussian and lognormal flavors) with interest rate and/or hazard rate calibration to volatility term structure of cap/swaptions and CDS spreads or corporate bonds; and LIBOR market model calibration, including exact fit to caps and least square fit to swaptions.

Several parameterizations of the correlation matrix are available as well as several approaches for including volatility skew. Many models accommodate time dependent parameters, either exactly through numerical models of the calibration instruments or through very fast approximate analytic techniques.

Easy to use * Model examples and analytical pricing library

The SciCalibrator Examples Catalog and SciCalibrator Analytics Library facilitate the development of custom calibration routines. The SciCalibrator Examples Catalog provides a range of calibration model examples. Like all SciFinance examples, the user is free to use them as a starting point and modify them as needed. The SciCalibrator Analytics Library provides more than a dozen analytical pricing models for pricing the underlying calibration instruments. The user may substitute their own analytical pricing routines or synthesize PDE pricers for use in calibration models.

Features * Full calibration capability

• CEV model (Constant Elasticity of Variance)
• Heston’s stochastic volatility
• Heston’s stochastic volatility + jumps
• Kou’s double exponential jump model
• Local volatility
• VG (Variance Gamma) and CGMY (Carr-Geman-Madan-Yor) models
• VGSA and CMGYSA (VG and CMGY + stochastic time change)

• Single and multi-factor Gaussian models
• Least squares fit to cap/swaptions
• Generic single factor models (e.g. G1, HW, EEV, BK, CIR)
• Exact bootstrapping fit of volatility term structure to cap/swaptions
• Interest rates and hazard rates correlated

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

• Simulated annealing
• Levenberg-Marquardt

SciCalibrator Benefits:

• Supports all calibration problems, including cross-asset class model calibration
• Automated coding (C/C++ source code) for custom calibration routines
• Over a dozen analytical pricing models for calibration instruments
• Calibration routines may utilize PDE or MC pricing models for calibration instruments
• Provides utilities for reading and preprocessing market data

More calibration solutions