Hi,
I'm new to QuantLib, I wonder if you could help me.
I was looking at FDBermudanEngine trying to see whether I could use it
in the BermudanSwaption example. Seeing that the former uses
BlackScholesMerton process I thought I could easily change at few
places (FDBermudanEngine, FDMultiPeriodEngine, FDVanillaEngine, ...)
GeneralizedBlackScholesProcess to HullWhiteProcess and create similar
engine for HullWhite process.
However, when things go deeper and deeper, while on one hand in
pdebsm.hpp, bsmoperator.hpp etc things are defined based on
GeneralizedBlackScholesProcess (derived from StochasticProcess1D), on
the other hand the corresponding classes for short rate process
(onefactoroperator.hpp, pdeshortrate.hpp) are based on MODEL not
PROCESS, ie. based on OneFactorModel::ShortRateDynamics instead for
say HullWhiteProcess. I'm totally confused. My simple plan was ruined.
Anyone could shed some light and help me? What I'm after it a FDM
pricer for HullWhite process.
Many Thanks for any pointers!
------------------------------------------------------------------------------
_______________________________________________
QuantLib-users mailing list
[hidden email]
https://lists.sourceforge.net/lists/listinfo/quantlib-users
Locked
