Hi all,
i'm trying to build the analytic formula of an european swaption ,in Matlab, by following Brigo-Mercurio pag.158-59.

I'm using the parameters present in the book (a=0.7735, b=0.08201, sigma=0.02228; eta=0.01038, rho=-0.7019), but when i try to calculate the

rho_xy=((rho*sigma*eta)/((a+b)*sigma_x*sigma_y))*(1-exp(-(a+b)T))

the value, with T=2(maturity), is -1.033.

The problem is that when i have to calculate the h1_x the value sqrt(1-rho_xy^2) is negative, and that is impossible and it creates an error.

Do someone have any suggestions??????

Thank you