<t>In my experience the function "lsqnonlin" with the 'trust-region-reflective' algorithm is the most robust in Matlab. With 'trust-region-reflective' algorithm you must impose bound constraints. The calibration speed to swaption prices of G2++ (computed with the exact formula by Brigo-Mercurio) imp...

<t>Thanks Lech.I have followed your suggestions and implemented the deterministic approximation of the model under the forward measure and the results seems similar to yours.Now my problems are about the simulation scheme. The volatilities does not coincide at all.Maybe you could find the error in t...

<r>Hi everyone,I?m triyng to implement the Heston model with stochastic interest rates driven by the Hull-White process devoloped by Grzelak and Oosterlee for my graduate thesis in finance.In particular, I?ve implemented the deterministic version but it does not returns the same results as the ones ...