Patches item #811713, was opened at 2003-09-24 12:09
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https://sourceforge.net/tracker/?func=detail&atid=312740&aid=811713&group_id=12740Category: None
Group: None
Status: Open
Resolution: None
Priority: 5
Submitted By: Francesco Perissin (fperissin)
Assigned to: Nobody/Anonymous (nobody)
Summary: Wrong lambda in BermudanSwaption example
Initial Comment:
The lambda of 0.25 used in BermudanSwaption example
is too high compared to the carachteristic length of the
parameters to fit. This may lead to unsuccesful
calibrations in some particular situations, like the
calibration of a 1-dim HullWhite model with the alpha
being constant.
A better value is 0.05.
Appearently, there are no cases of wrong calibrations
with the "official" HullWhite model (but... who knows?)
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