Re: [Quantlib-users] Calibrating HW one-factor model parameters to Normal Swaption vols

[Sumit S. <su...@mo...>]

Sorry - pls ignore. I found the issue with the handling of Normal
(Bachelier) volatilities

On Thu, 27 Aug 2020 at 15:13, Sumit Sengupta <su...@mo...>
wrote:

> Hi,
>  I am following the example in python cookbook to calibrate the HW 1
> factor model to market supplied Normal vols
>
>   The cookbook specifically mentions in Chapter 17:
>
> [image: image.png]
> Perhaps that's why my code is failing (see attached jupyter notebook).
>
> Any pointers to how I can fix this issue will be greatly appreciated...
>
> I guess the usual approximation:
> normalVol ~ price * log-normalvol
>
> also won't work as the rates are -ve ?
>
> Regards
> Sumit
>
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> Mosaic Smart Data
>
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> su...@mo...
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>


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Mosaic Smart Data

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