Re: bermudan swaption, simplex

Posted by Luigi Ballabio-2 on
URL: http://quantlib.414.s1.nabble.com/bermudan-swaption-simplex-tp2377p2387.html

At 11:15 PM 2/4/03 +0100, [hidden email] wrote:
>I am trying to run the bermudan swaption example, but the Hull White
>numerical calibration hangs.

Roland,
         are you sure it actually hangs? On my box, the analytic
calibration is almost instantaneous, while the numerical calibration takes
over 10 minutes to complete---which might as well give the impression of
hanging (and suggests choosing the analytic calibration for actual work :)
Could you try and let it run during a lunch break or something?

Oh, and thanks for the kind words...

Later,
         Luigi