Recommendation on books with source codes for calibration

[xluik]

Hi to all,

Can someone point to me beginner or intermediate books with working source codes examples for calibration of short rates? Preferably books that actually delicate to providing the advantages or disadvantages of the different algorithms (eg. Levenberg-Marquardt vs other algorithms).



Thanks!

[finanzmaster]

Hi,



>Preferably books that actually delicate to providing the advantages or disadvantages of the different algorithms (eg. Levenberg-Marquardt vs other algorithms)



So specific books are unknown to me, however, the best "book" of working(!) source code is QuantLib.

It is NOT easy. However, have a look at my notes, their goal is to help to get started with QuantLib readily and gradually: http://www.yetanotherquant.com/QuantLib/book/BookQuantLib.pdf



I don't consider the calibration of short rate models (but I make their overview) and I do exhaustively discuss how to fit a term structure (which is, in context of QuantLib, a non-trivial challange). After you understand this, just have a look at code example/unit tests and you will be able to run the calibration of the models (using different fitting methods).