Re: Estimate parameters of Hull-White single-factor model
Posted by
Khanh Nguyen-4 on
Apr 05, 2010; 4:41pm
URL: http://quantlib.414.s1.nabble.com/Estimate-parameters-of-Hull-White-single-factor-model-tp752p755.html
I implemented a function for R to calibrate HullWhite's parameters
using Cap data... however, I don't have any test cases. QL test-suite
has an example using the SwaptionHelper..Can someone please post an
example that uses cap data to calibrate Hull-White. Thanks.
-k
On Sat, Apr 3, 2010 at 11:21 AM, Khanh Nguyen <
[hidden email]> wrote:
> Thank you very much Marcin..
>
> -k
>
>> Use calibration helpers (caphelper or swaptionhelper). You can find an
>> example in testsuite/shortratemodels.cpp.
>>
>> M.
>>
>
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