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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.