R: R: Hull White Calibration?

[Berardi Luca]

Luigi,
I tried on another machine, and it doesn't break up, actually. There must be something wrong with my Visual Studio...accidentally I also realized that on some particular keyboard combinations (very common in C++ programming, though, like "->" or "xxx(") the Visual Studio suddenly exits without allowing any previous file storing. Sorry to have queried the list with a machine-specific problem.

However even on a different machine the model doesn't calibrate yet. After the calibration process it always returns the initial parameters (I also tried to perturbate the default parameters to see what happens).

As you can see from the example code I sent before the sequence of actions I undertake to calibrate the model is the following:

1) I create a vector of handles to CapHelpers from the term structure of atm cap volatilitiesm,
2) instantiate the optimization method (I used roughly the same code from the Swaption example),
3) instantiate the model with a relinkable to a term structure of rates,
4) calibrate the model using as arguments the vector of (handles to) CapHelpers and the instantiated optimization method.

Am I missing something?

Ciao,
Luca

-----Messaggio originale-----
Da: Luigi Ballabio [[hidden email]]
Inviato: giovedì 25 marzo 2004 10.23
A: Berardi Luca
Cc: [hidden email]
Oggetto: Re: R: [Quantlib-users] Hull White Calibration?

On 2004.03.24 18:37, Berardi Luca wrote:
> I perhaps managed to find the exact location where the exception is
> thrown.
>
> 9) XiborManager::getHistory()
>
> at this point the exception is thrown, and is subsequently catched by
> ParCoupon::amount() but no action is taken: there is only a comment
> "//fall through and forecast".

That's ok. The code first tries to fetch a stored fixing, and when it's 
told (by an exception) that the fixing isn't there it estimates it.

> I'm now including in the attachment the (self-contained) source code
> which is giving me pain...perhaps on someone else's machine is it 
> going to work?

I didn't really look at the results, but on my machine it compiled, 
linked and ran without errors in release mode with version 0.3.5 (to be 
released in a few days.) Now I'm trying with 0.3.4... ok, it doesn't 
give any error either. Maybe you can try on a coworker's machine?

Later,
        Luigi

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