Setup Requirements

 

1. Pricer Configuration

You need to register PricerCalibratibleLGM for Bermudan swaptions in the Pricer Configuration.

Then select the Calibration panel, and add the following information.

Save your changes.

 

2. Market Data

PricerCalibratibleLGM requires the following market data:

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A discount curve for the fixed leg, a discount curve for the floating leg, a forecast curve for the floating leg, and the first reset rate.

•

A RATE volatility surface generated from at least one swaption instrument.

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A RATE volatility surface generated with the LGMMMeanRev generator. The LGMMMeanRev surface is associated with a pricer configuration under the Product Specific panel for the LGMM_MEAN_REV usage.

PricerCalibratibleLGM does not actually require a hypersurface as a market data item, but it stores the results of the on-the-fly calibration in a hyper surface.