[Quantlib-dev] [ quantlib-Patches-811713 ] Wrong lambda in BermudanSwaption example

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Patches item #811713, was opened at 2003-09-24 12:09
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Category: None
Group: None
Status: Open
Resolution: None
Priority: 5
Submitted By: Francesco Perissin (fperissin)
Assigned to: Nobody/Anonymous (nobody)
Summary: Wrong lambda in BermudanSwaption example

Initial Comment:
The lambda of 0.25 used in BermudanSwaption example 

is too high compared to the carachteristic length of the 

parameters to fit. This may lead to unsuccesful 

calibrations in some particular situations, like the 

calibration of a 1-dim HullWhite model with the alpha 

being constant.

A better value is 0.05.

Appearently, there are no cases of wrong calibrations 

with the "official" HullWhite model (but... who knows?)



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