Re: bermudan swaption, simplex

Posted by Giancarlo Pfeifer-2 on Jul 07, 2003; 9:34am
URL: http://quantlib.414.s1.nabble.com/Re-bermudan-swaption-simplex-tp2598.html

> 1. I am trying to calibrate Hull-White for Bermudan
> swaptions, and the time needed for calibration
> varies greatly depending on the volatility surface
> I am inserting. For some surfaces, the analytic
> formula only takes a few seconds, while with other
> surfaces the calibration does never seem to
> terminate.

Sorry, I withdraw the first question: I looked at the
code today with fresh mind and it was my mistake: I
set the tollerance smaller than the arithmetic limits
of the computer (1e-15!!!), and for this reason the
simplex did hang.

Thanks you,
giancarlo
gc


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