R: R: [Quantlib-users] Hull White Calibration?
Luigi, Nando
I think I finally found what was going wrong...
I realized that when instantiating the set of CapHelpers the corresponding pricing engine is silently set to BlackCapFloor... while I was expecting it was set to a pricing engine related to the model used (Hull & White in my case).
Having the pricing engine set to BlackCapFloor implies that the market values of caps COINCIDE with the values given by the model, and no optmization was really carried out.
Now I set the engine to AnalyticalCapFloor, which contains the cap/floor pricing formulas for the Hull & White model, and some calibration is made...even if I still have to check it is made correctly (choosing an appropriate set of initial values for the parameters, for example).
Thanx for your help, anyway.
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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