Re: [Quantlib-users] Calibration of short-rate models with some parameters fixed

[Ming <wof...@gm...>]

Hi Kiichi,

In the chapter 17 of Quantlib Python cookbook, there is an example about Hull-White model calibration. We can provide a list of boolean with constraints to determine which parameter is constrained and the other is not constrained. I think you can have a try on G2 model too.



wof...@gm...
 
From: K Y
Date: 2024-04-15 14:22
To: quantlib-users
Subject: [Quantlib-users] Calibration of short-rate models with some parameters fixed
Hi all,
 
When calibrating a short rate model, say a G2 model, is there a way to
fix some parameters to specific values and calibrate only the
remaining parameters?
I have asked this same question before, but I am not confident that I
communicated it well, so I will ask it again.
 
Thank you,
Kiichi
 
 
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