Hull & White with fixed parameter

Posted by Francesco Perissin on
URL: http://quantlib.414.s1.nabble.com/Hull-White-with-fixed-parameter-tp7179.html

Hi all,

I need to calibrate the HullWhite model keeping fixed the a parameter.

 

In order to do that, I think that I have to develop a FixedAlphaHullWhite class, derived from HullWhite, with a modification in the FittingParamater::Impl class, in order to have only sigma as fitting parameter, and erediting alpha from the FixedAlphaHullWhite class.

 

I am not so keen in C++, so I have some trouble in doing this.

 

Any suggestions?

 

Many thanks

Francesco

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