Hi Ning,
unless I'm mistaken, there's no way to do that without changing
the code. One thing you could try, though, is to pass an additional
constraint to the calibrate() method (there's an optional parameter
for it) that forces your a to be in a range around 0.3. I'm not sure
how narrow you can make the range before causing problems to the
optimizer, so you might have to experiment a bit...
Luigi
On Fri, Aug 17, 2012 at 3:48 AM, Ning Cheng <
[hidden email]> wrote:
> Hi All,
> This is Ning. I'm a new comer for Quantlib.
>
> Recently I was doing calibration for Hull White model, with two parameters:
> mean reversion speed a and volatility sigma.
>
> I calibrated the two parameters to swaption market price, minimizing
> relative price error using Jamidishian analytical formula. While I found
> mean reversion speed is quite small, I decided to fix a at some value, say
> 0.3 and then only calibrate sigma. Is there any easy way to do so? I don't
> how to let Quantlib only calibrate one parameter, with the other fixed.
>
> Any comment will be appreciated. Thanks!
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