Hull White Handle Function explanation

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Davin 2016-2-3

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此问题的直接链接

https://ww2.mathworks.cn/matlabcentral/answers/266375-hull-white-handle-function-explanation

评论： Davin 2016-2-3

Hello,

I am trying the execute the following the code, which is the pricing of a bermudan swaption but I am getting an error which I am not able to solve.

the error is the following :

Error using instargswaption (line 212)
Swap components of Swaptions must have the same settlement date.
Error in parseswaptionargs (line 44)
[OptSpec, Strike, ExerciseDates, Spread,...
Error in swaptionbyirtree (line 27)
[OptArgs, OptFields, SwapArgs, SwapFields, options] = parseswaptionargs(varargin);
Error in swaptionbyhw (line 91)
    Price = swaptionbyirtree(HWTree, varargin{:});
Error in
@(x)SwaptionBlackPrices(relidx)-swaptionbyhw(hwtree(hwvolspec(Settle,'03-Feb-2016',x(2),'03-Feb-2016',x(1)),RateSpec,TimeSpec),'call',SwaptionStrike(relidx),EurExDatesFull(relidx),0,EurExDatesFull(relidx),EurMatFull(relidx))
Error in lsqnonlin (line 194)
            initVals.F = feval(funfcn{3},xCurrent,varargin{:});
Error in BermudaSwap (line 132)
HW1Fparams = lsqnonlin(HW1Fobjfun,x0,lb,ub,options);
Caused by:
    Failure in initial user-supplied objective function evaluation. LSQNONLIN cannot continue.

The code is at http://www.mathworks.com/help/fininst/examples/pricing-bermudan-swaptions-with-monte-carlo-simulation.html

I tried to analyse the handle function

HW1Fobjfun = @(x) SwaptionBlackPrices(relidx) - ...
    swaptionbyhw(hwtree(hwvolspec(Settle,'03-Feb-2016',x(2),'03-Feb-2016',x(1)), RateSpec, TimeSpec), 'call', SwaptionStrike(relidx),...
    EurExDatesFull(relidx), 0, EurExDatesFull(relidx), EurMatFull(relidx))

But I am having difficulties to comprehend x(2), x(1)...

Would be great if you could help me on that.

Thank you