[Quantlib-users] Hull White Calibration

[Jonathan B. <jon...@gm...>]

I'm new to QuantLib, and recently put together some code to calibrate
the Hull White model to swaption volatilities. Everything is working
well, but I'm left wondering whether the calibration is performed on
volatilities or prices. I've read through the code in the test suite
and the source code for CalibrationHelper, and I'm almost sure that
when calibrating the Hull White model to swaption volatilities, the
CalibrationHelper minimises the distance between model and input
volatilities, rather than prices. However, I'm yet to find a
definitive answer (either in a comment or line of code).

Can anyone confirm or deny that this is the case? Save for modifying
the class, is there an easy way to set CalibrationHelper to calibrate
either way?

Best regards


jb