Hull White calibration || Fix One Parameter

Posted by Ning Cheng on Aug 17, 2012; 1:48am
URL: http://quantlib.414.s1.nabble.com/Hull-White-calibration-Fix-One-Parameter-tp5769.html

Hi All,

This is Ning. I'm a new comer for Quantlib. 

Recently I was doing calibration for Hull White model, with two parameters: mean reversion speed a and volatility sigma.

I calibrated the two parameters to swaption market price, minimizing relative price error using Jamidishian analytical formula. While I found mean reversion speed is quite small, I decided to fix a at some value, say 0.3 and then only calibrate sigma. Is there any easy way to do so? I don't how to let Quantlib only calibrate one parameter, with the other fixed.

Any comment will be appreciated. Thanks!

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