Smooth simultaneous calibration of the LMM to caplets and co-terminal swaptions
提出一种新校准方法，通过将远期利率视为互换利率之差并逐次自举，无需全局优化即可完美拟合位移扩散LIBOR市场模型与上限期权和共期限互换期权。
We introduce a new calibration methodology that allows perfect fitting of the displaced diffusion LIBOR market model to caplets and co-terminal swaptions, whilst avoiding global optimizations. The approach works by regarding a forward rate as a difference of swap rates and then bootstrapping through rates one by one.