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Term Structure of Volatility Calibration

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important script information
company name:
Ahmos Sansom
license: Free
minimum requirements: MATLAB 7.9 (2009b)
functional limitations:
Term Structure of Volatility Calibration description
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
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