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using a numerical iteration routine such as the Newton-Raphson method, gradientdescent method, or a minimization optimization algorithm such as Brent s method. The LFM is calibrated to the swaption market when the parameters that minimize the sum of the squared differences of the swaption prices are determined. Such a minimization is possible since the sum is a function of the parameters. Note that while the s can be determined by the cap market as functions of a, b, c, and d, parameters that are also used in the calibration to swaption prices. However, if the number of swaptions is large, four parameters are not suf cient for practical purposes.20 In this case, a richer parametric form of the instantaneous volatility such as that in equation (13.9) should be used. Moreover, joint calibration to both the cap and swaption market is common practice for traders. Reconciling the difference in cap and swaption volatility structures is important so that joint calibration can be achieved. For a detailed discussion of swaption calibration using actual data as well as numerical results, see Brigo and Mercurio (2001c). dot net barcode library print barcodes using printdocument -VBForums
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