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by PalleGulvballe
December 21st, 2017, 9:36 am
Forum: General Forum
Topic: Hull-White in MATLAB - which vol surface to use
Replies: 2
Views: 1366

Hull-White in MATLAB - which vol surface to use

I'm using MATLAB's function "hwcalbycap" to fit the Hull-White model to the EURIBOR curve. I'm getting data from Bloomberg on the cap volatility surface. There are two options: Normal and Black  (VCUB EUR, 96[market data], 12[Caps/Floors]).  I'm clearly a novice in this area, so I'm not su...