Patches item #811713, was opened at 2003-09-24 14:09
Message generated for change (Comment added) made by lballabio
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https://sourceforge.net/tracker/?func=detail&atid=312740&aid=811713&group_id=12740Category: None
Group: None
>Status: Closed
Resolution: None
Priority: 5
Submitted By: Francesco Perissin (fperissin)
>Assigned to: Luigi Ballabio (lballabio)
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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Comment By: Luigi Ballabio (lballabio)
Date: 2003-10-09 16:25
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The patch was applied to the code in the cvs repository.
It will be included in next release.
Thank you.
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