calibration hull white by caps

jamesvanviersen · December 5th, 2012, 10:03 am

Helllo everybody,I posted before including a piece of code, but removed that post. Does anyone by any chance a piece of MATLAB code on how to calibrate a single factor Hull-White with constant alpha and sigma? (so you are in fact calibrating alpha and sigma). Or does anyone know where I might be able to find such code?Kind regards, any help would be great!James

Shawnxiangyu · November 7th, 2013, 11:46 am

i think on the mathworks website, a simple example of calibrating the hull white 1 factor model by caps has been given out.