Hull - White Calibration

Posted by Perissin Francesco on
URL: http://quantlib.414.s1.nabble.com/Hull-White-Calibration-tp2662.html

Hi there,
I am calibrating my Hull-White model in QL 0.3.1 using more or less the same code given in bermudan swaption example. This means considering a set of calibration helpers, and finding the parameters alfa and sigma that minimize the error function, via the simplex optimization method.

Now I'd like to modify slightly this code, in order to keep a given alfa and to find the best sigma. Clearly, this is a much simpler problem since I have a single parameter to calibrate. Unfortunately, I am not an expert user of the library and I'd need some hints in order to reach the goal in a "decent" way...

The code I am currently using is more or less the following:

    CalibrationSet calibrationInstruments;

    .............

    Handle<Model> modelHW(new HullWhite(rhTermStructure));
    Handle<Optimization::Method> om(new Optimization::Simplex(0.25, 1e-9));
    om->setEndCriteria(Optimization::EndCriteria(10000, 1e-7));
    modelHW->calibrate(calibrationInstruments, om);

The modified code should work with a model defined as

    double givenAlfa;
    Handle<Model> modelHW(new HullWhite(rhTermStructure, givenAlfa));

Thanks for the help

Francesco Perissin
Derivatives & Structured Products
Banca del Gottardo
[phone]

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