Re: [Quantlib-users] Time dependent volatility parameter

[Giuseppe T. <tr...@gm...>]

Hi Hitesh,

yes, you should check the example for Gaussian1dModels where you can find
the Hull and White (1 factor) with piecewise constant volatility and mean
reversion parameters:

https://www.quantlib.org/reference/_gaussian1d_models_8cpp-example.html

By the way it's also part of the python bindings already available:

https://github.com/lballabio/QuantLib-SWIG/blob/master/Python/examples/gaussian1d-models.py



Il giorno mar 25 mag 2021 alle ore 16:56 Luigi Ballabio <
lui...@gm...> ha scritto:

> Hello,
>     there's a GeneralizedHullWhite class
> in ql/experimental/shortrate/generalizedhullwhite.hpp that can take a
> series of dates and volatilities, but it's not much tested.
>
> Luigi
>
>
> On Sun, Apr 4, 2021 at 9:11 AM Hitesh Kapoor <hhi...@gm...>
> wrote:
>
>> Hi Quantlib Users,
>>
>> Is it possible to obtain time dependent volatility parameter
>> in HW1F calibration using Quantlib.
>>
>> Thanks,
>> _______________________________________________
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-- 
*Giuseppe Trapani*