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Hull White Calibration?

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Berardi Luca

Hull White Calibration?

Hi all

I'm getting some trouble with the Hull-White model calibration. I wrote the following piece of code, which I'm interfacing with Excel through XLW:

void IRModel::calibrate( const vector<double>& vola,
                        const vector<Period>& volaLength,
                        Optimization::Method& method,
                        const RelinkableHandle<TermStructure>& rhTermStructure,
                        const Handle<Indexes::Xibor>& index )
{
        QL_REQUIRE(vola.size() == volaLength.size(),
        "vola & length vector sizes must be equal!");

        // Caphelpers declaration
        vector< Handle< CalibrationHelper > > instruments(vola.size());

        for(int i=0; i<vola.size(); i++)
        {
                RelinkableHandle<MarketElement>
                        rhMarketElement(Handle<MarketElement>
                        (new SimpleMarketElement(vola[i])));

                try{
                        Handle<CalibrationHelper> hCapHelper(new CapHelper(volaLength[i],
                        rhMarketElement,index, rhTermStructure));
                        instruments[i] = hCapHelper;
                }
                catch(std::exception e)
                {
                        std::string errorMessage = e.what();
                }

}

hModel_ = Handle<Model>(new HullWhite(rhTermStructure) );

hModel_->calibrate( instruments, method );

}

Unfortunately the program throws a bunch of exceptions (seemingly neither of the QuantLib, nor of the STL type, since they are not catched by the catch block above), but the method hModel_->calibrate() manages to find the parameters. After exiting the function IRModel::Calibrate(..) however, Excel gives me a dialog box message of the kind "Debug assertion failed" and I get the following message in the Visual C++ 6.0 Output window:

HEAP[EXCEL.EXE]: Invalid Address specified to RtlValidateHeap( 1af0000, 12cd6c )

Any help would be greatly appreciated. Thanks a lot.

Luca Berardi

Banca Profilo
Milan, Italy

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