Calibration

ABOUT CALYPSO CALIBRATION

The Calibration application can be used to calibrate any pricing model that enables on-the-fly calibration.

Out-of-the-box, PricerCalibratibleLGM is designed to calibrate CalibratibleLGMModel using LGMCalibrator. Refer to the Javadoc for information on creating custom models that can be calibrated, and calibrators.

This document provides a sample usage of the Calibration application to calibrate the LGM model for pricing Bermudan swaptions using PricerCalibratibleLGM.

Calibration
Setup requirements
Sample trade
Calibration

Download PDF - Calibration

Installation

The hypersurface and calibration applications require the installation of Java 3D.

You can obtain Java 3D at the following link: http://java3d.java.net/binary-builds.html

You need to add the following jars to the Libraries (Jar files) of the Calypso Installer - "Common Third Party Libraries & Extension":

• j3dcore.jar

• j3dutils.jar

• vecmath.jar

Ⓘ [NOTE: The Calypso License to use this Calypso integration does not include a license to the actual third-party libraries - Clients are responsible for contracting with the appropriate third-party provider prior to using this Calypso integration]

By default, the use of 3D graphics is turned off. You should only turn it on, ONLY if you have installed Java 3D.

To turn the use of 3D graphics on, set the environment property CAN_HANDLE_JAVA_3D to true.

You can also set CAN_RENDER_IMAGE_FROM_3D_RENDERER to true to allow taking snapshots of 3D graphs.

Ⓘ [NOTE: CAN_RENDER_IMAGE_FROM_3D_RENDERER should only be turned on if CAN_HANDLE_JAVA_3D is set to true, AND the current hardware supports GLVERSON > 1.2. If your hardware does not support GLVERSION > 1.2, you will get an exception, and the entire Java session will end!]

Java Web Start Requirements

You have two options to use Java3D with Web Start:

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Option 1 - Have Java 3D installed locally on the client machine. Web Start will pick up the jars from the local JRE.

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Option 2 - The jnlp can use the following line to download the Web Start libraries from Sun - It will ask a security question but you do not have to install Java 3D on the client: