Calibrate Hull-White tree using floors
[
calibrates the Alpha
,Sigma
,OptimOut
] = hwcalbyfloor(RateSpec
,MarketStrike
MarketMaturity
,MarketVolatility
)Alpha
(mean reversion) and Sigma
(volatility) using floor market data and the Hull-White model using the entire floor
surface.
The Hull-White calibration functions (hwcalbyfloor
and hwcalbycap
) support three models: Black (default), Bachelier or Normal, and
Shifted Black. For more information, see the optional arguments for
Shift
and Model
.
[
estimates the Alpha
,Sigma
,OptimOut
= hwcalbyfloor(RateSpec
,MarketStrike
MarketMaturity
,MarketVolatility
,Strike
,Settle
,Maturity
)Alpha
(mean reversion) and Sigma
(volatility) using floor market data and the Hull-White model to price a floor at a
particular maturity/volatility using the additional optional input arguments for
Strike
, Settle
, and
Maturity
.
Strike
, Settle
, and
Maturity
arguments are specified to calibrate to a specific point
on the market volatility surface. If omitted, the calibration is performed across all the
market instruments
For an example of calibrating using the Hull-White model with
Strike
, Settle
, and Maturity
input arguments, see Calibrating Hull-White Model Using Market Data.
[
adds optional name-value pair arguments. Alpha
,Sigma
,OptimOut
] = hwcalbyfloor(___,Name,Value
)
floorbyblk
| HullWhite1F
| hwcalbycap
| hwtree
| lsqnonlin