Merge pull request #1137.

Reintroduce wider search bounds for G2 calibration.
lballabio · Jul 2, 2021 · e005927 · e005927
2 parents 0d91e36 + 1bf9123
commit e005927
Showing 1 changed file with 2 additions and 1 deletion.
diff --git a/ql/models/shortrate/twofactormodels/g2.cpp b/ql/models/shortrate/twofactormodels/g2.cpp
@@ -167,7 +167,8 @@ namespace QuantLib {
             SolvingFunction function(lambda, Bb_) ;
             Brent s1d;
             s1d.setMaxEvaluations(1000);
-            Real yb = s1d.solve(function, 1e-6, 0.00, -10.0*sigmay_, 10.0*sigmay_);
+            Real searchBound = std::max(10.0*sigmay_, 1.0);
+            Real yb = s1d.solve(function, 1e-6, 0.00, -searchBound, searchBound);
 
             Real h1 = (yb - muy_)/(sigmay_*txy) -
                 rhoxy_*(x  - mux_)/(sigmax_*txy);