Hi All,I am trying to calibrate HW1F model using ATM caps. I Have already gone through the posts which are there on this forum regarding its calibration. I am calibrating this model by simultaneously optimizing a,sigma. And the end result is that there is an error of 7% in the model prices and market prices. I would like to know generally what is the error difference while calibrating the model. I have tried a lot to reduce the % error, but couldn't do it. Could somebody please guide me as how can i achieve it.Second, Could somebody please send me the book "Implementing derivative models by Les Clewlow and Chris Strickland" as i couldn't find it on internet and it has got HW calibration using caplets. Thanks in advanceRegards

You want someone to send you a copy of the book? Ummm... I can't do that, sorry.Try www.Volopta.com someone has done what you are looking for in Matlab.