Re: Estimate parameters of Hull-White single-factor model
Posted by
Marcin Pawlik on
Apr 03, 2010; 6:15am
URL: http://quantlib.414.s1.nabble.com/Estimate-parameters-of-Hull-White-single-factor-model-tp752p753.html
2010/4/2 Khanh Nguyen <
[hidden email]>:
> 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.
Use calibration helpers (caphelper or swaptionhelper). You can find an
example in testsuite/shortratemodels.cpp.
M.
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