LexiFi Apropos comprises dedicated calibration pages for advanced users who wish to finely parametrise calibration routines and inspect results.
The Hull-White 1- and 2-factor models and the Libor Forward models provide dedicated analytics for analyzing calibration results. This curve corresponds to a volatility term-structure bootstrapped from swaption quotes.
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The Local Volatility and Heston models provide analytics for calibration fine-tuning. This graph represents the local volatility surface for an equity index.
Click image to enlarge.Flexible calibration routines provide a choice among various methodologies or market data inputs. Moreover, users may selectively freeze model parameters and let the routines calibrate the remaining parameters.
Calibration routines for some models rely on advanced algorithm in order to find an optimal set of parameters, which allow the model to replicate market quotes. LexiFi uses a combination of global optimisation (differential evolution algorithm) and local minimisation.
