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

[K Y <mad...@gm...>]

Hi Ming,

I have replied to you personally, but thank you again. I was able to
do it with the G2 model based on the chapter you taught me.

With regards.

2024年4月16日(火) 17:46 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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