利率模型的比较，求助

本人真心求助各位大神，在LMM模型中，未来每天的即期利率可以根据每天的远期利率迭代公式得到，但是在Heston模型里面，由于有时间间隔，远期利率迭代公式只能得到各结点（比方说3个月Libor表示的每个季度末即期利率）的即期利率，请问这种情况如何比较两种模型的优劣（比方说从对利率的路径拟合程度来看）。

不好意思，没看懂你在说什么，请具体说明你在干什么，你要达到什么目的，用的什么方法，然后具体问题是什么，尽量连贯表达，不要直接说问题。以免大家无所适从或者回答文不对题，耽误双方时间。

节点是数据给出的，如果lmm的拟合数据也是3月libor谁说你能每天都迭代模拟一个利率出来~神模型么可以无中生有啊~同样的数据结构，lmm较好因为波动率结构更准确些

Tough I still didn't catch your point.

I have not calibrated these two models so I can't give you any conclusion. Just share my opinion.

To calibrate these two models, the most common way is to use cap or swaption.

I think everyday you have the forward libor rate for a certain period (e.g. 3 month) and the corresponding derivatives, they should be on a rolling basis. So I don't understand the data issue you are talking about.

LMM can have a better term structure of the volatility (as mentioned by the floor above) so that this is its advantage. But Heston, as an SV model is more flexible in calibrating and it should perform better in hedging (although you are not talking about hedging issue).

best,

如果数据是每日滚动的，那3个月只是利率种类不是数据结构，数据结构是日频率的3月libor；那么heston模型也可以做日拟合的；

再说了heston模型不是个sv模型么，是想说水平利率模型比如BDT等再加上heston的波动率结构吧，这就也不知道他想问什么了

yinlianqian 发表于 2013-10-6 10:18
如果数据是每日滚动的，那3个月只是利率种类不是数据结构，数据结构是日频率的3月libor；那么heston模型也可 ...

Agree, I either can't figure out what get him confused. And he seems never appear any more.

Thanks for leading some active discussion. My board needs more people like you.

best,

呵呵大神谬赞，没事我们就在板上多聊聊！

感谢两位大神，我明白了

yinlianqian 发表于 2013-10-6 10:18
如果数据是每日滚动的，那3个月只是利率种类不是数据结构，数据结构是日频率的3月libor；那么heston模型也可 ...

heston模型的参数比较多，如果做日拟合的话会不会比较复杂，求教

zqalan 发表于 2013-10-7 18:25
heston模型的参数比较多，如果做日拟合的话会不会比较复杂，求教

I have not deal with any research about Heston model so I can not tell much about it although I know several ways to calibrate it.

Here is a paper related which in my opinion the fastest way to estimate the parameters. Just minimize the mean squared error between the market price of the option and the option price given by Heston model. It's just a sample, you can search more by yourself.

best,
calibrating_heston.pdf (419.82 KB)

2013-10-7 21:20:59 上传