RE: Hull - White Calibration

Posted by Ferdinando M. Ametrano-3 on
URL: http://quantlib.414.s1.nabble.com/Hull-White-Calibration-tp2662p2666.html

At 09:05 AM 9/24/2003 +0200, you wrote:

>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. [...]
>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

that would be perfect. Thank you very much Francesco

ciao -- Nando