Infinite calculation while calibrating 2F model...
Posted by
Toyin Akin-3 on
Apr 12, 2002; 12:49am
URL: http://quantlib.414.s1.nabble.com/Infinite-calculation-while-calibrating-2F-model-tp1975.html
Hi all,
Using your Bermudan example I duplicated the code
for the numerical calibration of your HW
model (TreeSwaption) and instead replaced the
object with a G2 model. I also changed the calibration code (in the example file) so that the max iteration was 100 and
the accuracy was 1e2
After 30 minutes the G2 model is still
calibrating.
The CIR model does calibrate, but only under one of
the method types (numerical or analytical, I forget which!!). The error message
for the method which does not calibrate is a bracketing root
problem.
Does this imply that the work on the G2 model is as
yet unfinished?
Thanks in advance,
Toy.