Merge pull request #1122.

Fix Calibration Errors in G2
lballabio · Jun 24, 2021 · 0d04d6e · 0d04d6e
2 parents 727df9a + 47b163f
commit 0d04d6e
Showing 1 changed file with 1 addition and 2 deletions.
diff --git a/ql/models/shortrate/twofactormodels/g2.cpp b/ql/models/shortrate/twofactormodels/g2.cpp
@@ -166,7 +166,7 @@ namespace QuantLib {
             SolvingFunction function(lambda, Bb_) ;
             Brent s1d;
             s1d.setMaxEvaluations(1000);
-            Real yb = s1d.solve(function, 1e-6, 0.00, -100.0, 100.0);
+            Real yb = s1d.solve(function, 1e-6, 0.00, -10.0*sigmay_, 10.0*sigmay_);
 
             Real h1 = (yb - muy_)/(sigmay_*txy) -
                 rhoxy_*(x  - mux_)/(sigmax_*txy);
@@ -241,4 +241,3 @@ namespace QuantLib {
     }
 
 }
-