RE: Hull - White Calibration

Posted by Perissin Francesco on
URL: http://quantlib.414.s1.nabble.com/Hull-White-Calibration-tp2662p2664.html

Hi all, after some debuggin I finally solved my problem in calibrating Hull & White model with one free parameter. THe characteristic length lambda, given to the constructor of Simplex, was too high, i.e. 0.25. Setting it to 0.05 resolves the problem. Due to unknown (to me) gemoetrical reasons, the "amoeba" present in the Simplex was adapting itself in the correct way in the 2dim problem even with that big length, but was not able to do the same in 1dim ....

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.

If everybody agrees, I will file my patch on Sourceforge, otherwise please let me know

ciao
Francesco

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