Term Structure of Volatility Calibration
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) + D
Required 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: TSOVControl
This code can be used to derive TSOV parameters for the Clewlow and Strickland Forward curve or spot models.
References
1. "Electricity Markets, - Pricing, Structures and Economics, " Chris Harris, Wiley, 2006.
Discussion on MLE vs. FMINSEARCH
2. http://www.mathworks.co.uk/matlabcentral/newsreader/view_thread/170041
Cite As
Ahmos Sansom (2024). Term Structure of Volatility Calibration (https://www.mathworks.com/matlabcentral/fileexchange/27185-term-structure-of-volatility-calibration), MATLAB Central File Exchange. Retrieved .
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Version | Published | Release Notes | |
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1.0.0.0 |