Estimate parameters of Hull-White single-factor model

[Khanh Nguyen-4]

Hi,

Is it possible to estimate the parameters, alpha and sigma, of
Hull-White single-factor model in QuantLib? I looked into the
documentations (HullWhite::FittingParameters, CalibratedModel...) but
I wasn't able to put all the pieces together. I have noticed a couple
questions about Hull-White's parameters on the R-Sig-Finance mailing
list. If the task isn't too involved, I consider providing a function
for RQuantLib. Thanks.

-k

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[Marcin Pawlik]

2010/4/2 Khanh Nguyen <[hidden email]>:
> Hi,
>
> Is it possible to estimate the parameters, alpha and sigma, of
> Hull-White single-factor model in QuantLib? I looked into the
> documentations (HullWhite::FittingParameters, CalibratedModel...) but
> I wasn't able to put all the pieces together. I have noticed a couple
> questions about Hull-White's parameters on the R-Sig-Finance mailing
> list. If the task isn't too involved, I consider providing a function
> for RQuantLib. Thanks.

Use calibration helpers (caphelper or swaptionhelper). You can find an
example in testsuite/shortratemodels.cpp.

M.

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[Khanh Nguyen-4]

Thank you very much Marcin..

-k

> Use calibration helpers (caphelper or swaptionhelper). You can find an
> example in testsuite/shortratemodels.cpp.
>
> M.
>

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[Khanh Nguyen-4]

I implemented a function for R to calibrate HullWhite's parameters
using Cap data... however, I don't have any test cases. QL test-suite
has an example using the SwaptionHelper..Can someone please post an
example that uses cap data to calibrate Hull-White. Thanks.

-k

On Sat, Apr 3, 2010 at 11:21 AM, Khanh Nguyen <[hidden email]> wrote:

> Thank you very much Marcin..
>
> -k
>
>> Use calibration helpers (caphelper or swaptionhelper). You can find an
>> example in testsuite/shortratemodels.cpp.
>>
>> M.
>>
>

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