[Quantlib-users] Question on normal volatility HW 1f calibration

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

Hi,

  2 questions that I have whilst following the example in python cookbook:

   1. I am trying to calibrate the HW 1f model to to normal vols , using
   the code in *create_swaption_helpers_normal*(). However, I don;t see any
   options on the CalibrationHelper called RelativePriceError. I see that its
   only avai;able for BlackCalibrationHelper (my QL version is 1.18)
   2. Using the example in the cookbook (*and using normal vol *&
   BlackCalibrationHelper), I see the HW 1f vol is an average of the market
   implied vol term structure. What's a recommended approach/model to match
   the vol term structure observed from ATM swaption vols?


Regards
Sumit

-- 
Mosaic Smart Data

mobile +44 (0)7961839363
su...@mo...
25 Finsbury Circus ▫ EC2M 7EE ▫ London ▫ United Kingdom
www.mosaicsmartdata.com