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Fit of Model Implied Volatilities to Historical Volatilities
Mean-reversion rate
Short-term volatility
Long-term volatility
Short/Long term correlation
Volatility Curve Calibration
Input
Input
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Plot in 3-D
File input:
Historical_Forwards.csv
Filtering threshold
Calibration date
Calibrated Maturities
Days in year
Calibrated Season
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Seasons definition:
Jan
Feb
Mar
Apr
May
Jun
Jul
Aug
Sep
Oct
Nov
Dec
Calibrate
