RE: [Quantlib-users] Hull - White Calibration

[Ferdinando A. <na...@am...>]

At 09:05 AM 9/24/2003 +0200, you wrote:
>after some debuggin I finally solved my problem in calibrating Hull & 
>White model with one free parameter. THe characteristic length lambda, 
>given to the constructor of Simplex, was too high, i.e. 0.25. Setting it 
>to 0.05 resolves the problem. [...]
>Please note that the BermudanSwaption example is using the high value 
>0.25, therefore I would suggest to replace it with a lower value, maybe 
>0.05 itself.
>
>If everybody agrees, I will file my patch on Sourceforge, otherwise please 
>let me know
that would be perfect. Thank you very much Francesco

ciao -- Nando