Piecewise constant vol and mean reversion of Hull white

Posted by Chak Jack Wong on
URL: http://quantlib.414.s1.nabble.com/joint-calendar-tp2345p2352.html

Hi,
I am wondering if anyone is working on the generalized hull-white model?  (i.e.
with piecewise constant vol and piecewise constant mean reversion?)
This allows exact calibration of the diagonal of swaptions and possibly a cap.
This is very useful for bermudan pricing.

Jack