Calibration

Calibration solves a curve or a model from the quotes a desk sees, so that every quoted instrument prices back to its quote. Most of the time a recipe does this for you in one call; the pages here are the solves underneath, for when you want to see the work, choose your own rungs, or solve something that isn't a rates curve.

Where to start

1. How calibration works explains the ideas every page here relies on, and when to solve explicitly rather than use a recipe.
2. Bootstrapping is the solve every other page varies.
3. The other pages each solve a different object, and can be read in any order.

Pages

Page	What it covers
how-calibration-works	explanation: rungs and pillars, the bootstrap, recipes or explicit solves, collateral, models
bootstrapping	par rungs; the sequential solve; its report; the Tolerance fields
joint-calibration	curves whose ladders read each other, solved as one Newton system
credit-calibration	survival from par CDS spreads, as flat hazards or a default density
inflation-calibration	index levels from zero-coupon inflation swaps at lagged pillars
cross-currency	a discount curve under another currency's collateral, from basis swaps
hull-white	σ fitted to a co-terminal swaption strip, flat or piecewise; choosing the mean reversion
sabr	the SABR smile, α from the ATM vol, ρ and ν fitted to the wings; the SabrSpec fields
the-jacobian	explanation: how each pillar moves with each quote, and why the matrix is triangular

Common tasks

You want to	Go to
build a curve from instruments no recipe lists	build a curve from your own rungs
hold a curve at a level past its last quote	pin a curve node past the last quote
fit a short-rate model to a callable and price it	calibrate Hull-White and pin it
build a survival curve from CDS spreads	credit-calibration
discount euros under dollar collateral	cross-currency
fit a smile to swaption vols by strike	sabr