I have had a few experiences or chats with teammates about the Hull-White model.
The famous model has 2 parameters :
- The volatility
- The mean reversion
Very often I hear that the mean reversion has been fixed and that the calibration is only done on the volatility.
Why do that ? Why not fix the volatility and optimize on the mean reversion since both parameters have influence on the vanilla products ?
Moreover, why no optimize on both parameters simultaneously ?
Thanks a lot in advance for the context or opinions that help me to understand what are the justification of these practices.