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Hull White Model - calibration not aligning to input prices #91
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I'll take a look into that! |
It seems that
I got estimated values as
The recalculated prices are now
which is a much better result. |
Ah, that makes sense! Thank you for your help :) |
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I'm observing an issue when trying to calibrate the hull white model using
calibration_from_swaptions
function. Specifically, when I try to recalculate the prices using the calibrated parameters, I do not return to my source prices. I've included a demo of the issue below:Output I'm seeing:
Source prices: [28.54, 27.63, 26.82, 25.76, 24.26]
Recalculated prices: [10.43644126, 20.46670051, 29.87954086, 46.01337643, 12.38118779]
Thanks in advance!
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