HjmCalibr Model

The tool to calibrate HJM (correlation and volatility term structure) parameters. Details of the calibration procedure are explained in HJM Calibration article.

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Maximal number of most recent days to take for calibration
Maximal number of months to take when constructing covariance matrix. Usually 24 or 36. Actual matrix size might be smaller if not enough data at the back of the forward curves. The resulting term structure can be extrapolated to any number of months after calibration.

Data table with historical forward price curves. First two elements of each row are dates (in Excel format): mark date and month which represents prompt month. The rest of the numbers in the row - forward prices, starting with prompt month. The rows should be in increasing mark date order.

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