warning the generated calibrating swaptions have a strike floored at
0.1bp (minus lognormal shift, if applicable), this is not true for atm
swaptions where the strike is generated in the swaption helper.
warning the standardSwapBase index should have associated forward and
discount curves. These curves are used for setup of the swaption helper.
This means that the market price of the calibration instrument is calculated
using these curves. Therefore the model price must be calculated using the
same curves, otherwise the calibration gets incosistent, i.e. the pricing
engine used for model calibration has to be capable of using the same curves
as associated to the index. Also the volatility structure passed to construct
the calibration helper should use curves that are consistent with the model
calibration curve setup. Finally the discountCurve given in the constructor
should be the same curve as the discounting curve of the swapIndex used to
determine the calibration basket.
warning the generated calibrating swaptions have a strike floored at 0.1bp (minus lognormal shift, if applicable), this is not true for atm swaptions where the strike is generated in the swaption helper.
warning the standardSwapBase index should have associated forward and discount curves. These curves are used for setup of the swaption helper. This means that the market price of the calibration instrument is calculated using these curves. Therefore the model price must be calculated using the same curves, otherwise the calibration gets incosistent, i.e. the pricing engine used for model calibration has to be capable of using the same curves as associated to the index. Also the volatility structure passed to construct the calibration helper should use curves that are consistent with the model calibration curve setup. Finally the discountCurve given in the constructor should be the same curve as the discounting curve of the swapIndex used to determine the calibration basket.