Re: [Quantlib-dev] Generalized Hull-White model problems

[Luigi B. <lui...@gm...>]

On Thu, 2010-07-29 at 22:49 -0700, Javit Hafizoglu wrote:
> I updated the generalized Hull White model and performed tests with
> QL-1.0.1. Tests are successful. For some reason calibration takes longer
> now. In the BermudanSwaption.cpp, I changed the optimization end criteria
> down to 40 and 10 from 400 and 100 for the max iteration and stationary
> iterations. This way, it takes shorter to calibrate.
> 
> I attached the files. The changes:
> 
> -- For some reason, parameter.hpp in QL-1.0.1 is not the same as trunk
> version 17224.

That's because 1.0.1 is a bug-fix release, and wasn't supposed to
contain any new stuff.  Your contribution and the related parameter
changes went on the trunk so that it will be in 1.1 (whenever that comes
out.)  In fact, it would be nice if you could base your files on the
trunk version so that it will be easier to merge in your changes.  Do
you think you might find some time to do this?

Thanks,
	Luigi


-- 

Discontent is the first necessity of progress. 
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