Estimate parameters of Hull-White single-factor model

Posted by Khanh Nguyen-4 on Apr 02, 2010; 9:44pm
URL: http://quantlib.414.s1.nabble.com/Estimate-parameters-of-Hull-White-single-factor-model-tp752.html

Hi,

Is it possible to estimate the parameters, alpha and sigma, of
Hull-White single-factor model in QuantLib? I looked into the
documentations (HullWhite::FittingParameters, CalibratedModel...) but
I wasn't able to put all the pieces together. I have noticed a couple
questions about Hull-White's parameters on the R-Sig-Finance mailing
list. If the task isn't too involved, I consider providing a function
for RQuantLib. Thanks.

-k

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