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Fix Calibration Errors in G2 #1122

Merged
merged 1 commit into from
Jun 24, 2021
Merged

Fix Calibration Errors in G2 #1122

merged 1 commit into from
Jun 24, 2021

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mmencke
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@mmencke mmencke commented Jun 23, 2021

Related to issue #1087.

There has been some issues the lower bound becomes minus infinity as y=-100 is a very low value.

Instead of having the interval, where we solve for y-bar, hard-coded, it is now set to plus/minus 10 standard deviations.

There has been some issues the lower bound becomes minus infinity as y=-100 is a very low value.

Instead of having the interval, where we solve for y-bar, hard-coded, it is now set to plus/minus 10 standard deviations.
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coveralls commented Jun 23, 2021

Coverage Status

Coverage remained the same at 71.103% when pulling 47b163f on mmencke:master into 727df9a on lballabio:master.

@lballabio lballabio added this to the 1.23 release milestone Jun 23, 2021
@lballabio lballabio merged commit 0d04d6e into lballabio:master Jun 24, 2021
mmencke added a commit to mmencke/QuantLib that referenced this pull request Jun 29, 2021
I forgot to credit myself in pull request lballabio#1122 and lballabio#1117
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Calibrating Hull White 2 Factor for Negative interest rate using Swaption Instruments
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