RE: Hull - White Calibration

Posted by Perissin Francesco on
URL: http://quantlib.414.s1.nabble.com/Hull-White-Calibration-tp2662p2663.html

Yes,
I tried it on a series of real historical data of the USD curves and swaptions, and also on the current USD data. With the modification suggested, the 1-dim calibration works perfectly, otherwise it does not.

On the other hand, you should consider that the calibration always runs properly with a 2-dim calibration, which is the one available in current QuantLib version, and consequently in BermudanSwaption example. The incorrect behaviour is only visible if one is using a 1-dim Hull&White, which is the piece of code that you suggested me some days ago.

Francesco
 

-----Original Message-----
From: Luigi Ballabio [[hidden email]]
Sent: mercoledì, 24 settembre 2003 12:07
To: Perissin Francesco; '[hidden email]'; 'Sadruddin Rejeb ([hidden email])'
Subject: RE: [Quantlib-users] Hull - White Calibration

At 09:05 AM 9/24/03, Perissin Francesco wrote:
>Please note that the BermudanSwaption example is using the high value
>0.25, therefore I would suggest to replace it with a lower value, maybe
>0.05 itself.

Francesco,
         did you try and see what happens if you do?

Just curious,
                 Luigi

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