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Term Structure of Volatility Calibration 1.0

  Date Added: August 06, 2013  |  Visits: 324

Term Structure of Volatility Calibration

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This code optimises the parameters for the term structure of volatility (TSOV) applied to historical forward curves - see discussion in Harris in reference 1 below. TSOVs avaible are: TermType - 1 = sigma = A exp (-CT) - 2 = sigma = A exp (-CT) + D - 3 = sigma = (A + BT) exp (-CT) + DRequired data - Local volatility and return data - both assumed annualised.The optimisation applies the nonlinear least square fitting tool and MLE approach using the fminsearch function - see reference 2.To run type: TSOVControlThis code can be used to derive TSOV parameters for the Clewlow and Strickland Forward curve or spot models.References1. "Electricity Markets, - Pricing, Structures and Economics, " Chris Harris, Wiley, 2006.Discussion on MLE vs. FMINSEARCH2. http://www.mathworks.co.uk/matlabcentral/newsreader/view_thread/170041 ://http://www.mathworks.co.uk/matlabce..._thread/170041

Requirements: No special requirements
Platforms: Matlab
Keyword: 2b Bt Code Optimises Discussion Drequired Economics Fminsearch Fminsearch Function Mle Nonlinear Parameters Return Run Sigma Term Structure Type Tsovcontrolthis Code Volatility Return Volatility Tsov Applied
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License: Freeware Size: 174.08 KB
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