HullWhiteCalibration

Fits the two Hull-White parameters (a, sigma) to a grid of European swaption quotes, given today's discount curve.

Each quote is turned into a target price with Bachelier (the market quotes an ATM normal vol on the forward swap rate); the model price is the Jamshidian swaption. The objective is the sum of squared price residuals, minimised by a bounded Nelder-Mead search — the analytic swaption is not recordable (a root-find and N(x)), so this is the numerical rather than the adjoint calibration route; the adjoint route runs against the HullWhite1F Monte-Carlo swaption instead.