Fwd: fdm 3/4 dimensional solver for long dated fx

[Theo Boafo]

Hi Klaus/Luigi,

I am looking at long dated fx i.e. stochastic vol with stochastic interest rates

4 factor model, Heston stochastic vol with stochastic domestic and foreign shot rates  i.e 

ds/s = (rd-rf) dt + sqrt(v) dw1
dv = k(@(t)-v) dt + volvol sqrt(v) dw2
drd = (theta(t) –rd) dt + sigma(t) dw3
drf = (theta(t) –rf) dt + sigma(t) dw4

I have made some code changes to the following files in Quantlib

(a) hybridhestonhullwhiteprocess.cpp/.hpp

(b) fdmhestonhullwhiteop.hpp/.cpp

(c) fdmhestonhullwhitesolver.cpp/.hpp

(d) fdhestonhullwhiteengine.cpp/.hpp

I have created 2 new files hybridhestonhullwhitemodel.hpp/.cpp and have the following errors

(a) QuantLib::HybridFXHestonHullWhiteModel::arguments is ambiguous

(b) The following line below in my calling program LongDatedFX has error QuantLib::HybridFXHestonHullWhiteModel::calibrate is ambiguous,so something wrong with design of HybridFXHestonHullWhiteModel class

	boost::shared_ptr<HybridFXHestonHullWhiteProcess> hybridFXHestonHullWhiteProcess(
		 new HybridFXHestonHullWhiteProcess(hestonModel->process(),domesticHwProcess,foreignHwProcess,corrFXDomesticShortRate,
		 corrFXForeignShortRate,corrDomesticForeignShortRate));

	boost::shared_ptr<HybridFXHestonHullWhiteModel> hybridFXRatesmodel(new HybridFXHestonHullWhiteModel(hybridFXHestonHullWhiteProcess));        

    LevenbergMarquardt vm(1e-6, 1e-2, 1e-2);
    hybridFXRatesmodel->calibrate(options, vm,EndCriteria(400, 40, 1.0e-8, 1.0e-4, 1.0e-8));

Please find attached the files.

Regards

Theo

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[Luigi Ballabio]

You're inheriting HybridFXHestonHullWhiteModel from HestonModel and HullWhite. Both define an arguments_ array that your class inherits, so the compiler can't decide which one you're referring to. The same holds for calibrate().

I don't think the whole multiple-inheritance thing is going to work, anyway. For instance, you can't just call the constructors of HestonModel and HullModel from the constructor of your class; they're going to write into the same positions in the arguments_ array, because each one thinks it owns it.  You're probably better off writing the class from scratch.

Luigi

On Wed, Nov 5, 2014 at 1:35 PM, Theo Boafo <[hidden email]> wrote:

Hi Klaus/Luigi,

I am looking at long dated fx i.e. stochastic vol with stochastic interest rates

4 factor model, Heston stochastic vol with stochastic domestic and foreign shot rates  i.e 

ds/s = (rd-rf) dt + sqrt(v) dw1
dv = k(@(t)-v) dt + volvol sqrt(v) dw2
drd = (theta(t) –rd) dt + sigma(t) dw3
drf = (theta(t) –rf) dt + sigma(t) dw4

I have made some code changes to the following files in Quantlib

(a) hybridhestonhullwhiteprocess.cpp/.hpp

(b) fdmhestonhullwhiteop.hpp/.cpp

(c) fdmhestonhullwhitesolver.cpp/.hpp

(d) fdhestonhullwhiteengine.cpp/.hpp

I have created 2 new files hybridhestonhullwhitemodel.hpp/.cpp and have the following errors

(a) QuantLib::HybridFXHestonHullWhiteModel::arguments is ambiguous

(b) The following line below in my calling program LongDatedFX has error QuantLib::HybridFXHestonHullWhiteModel::calibrate is ambiguous,so something wrong with design of HybridFXHestonHullWhiteModel class

	boost::shared_ptr<HybridFXHestonHullWhiteProcess> hybridFXHestonHullWhiteProcess(
		 new HybridFXHestonHullWhiteProcess(hestonModel->process(),domesticHwProcess,foreignHwProcess,corrFXDomesticShortRate,
		 corrFXForeignShortRate,corrDomesticForeignShortRate));

	boost::shared_ptr<HybridFXHestonHullWhiteModel> hybridFXRatesmodel(new HybridFXHestonHullWhiteModel(hybridFXHestonHullWhiteProcess));        

    LevenbergMarquardt vm(1e-6, 1e-2, 1e-2);
    hybridFXRatesmodel->calibrate(options, vm,EndCriteria(400, 40, 1.0e-8, 1.0e-4, 1.0e-8));

Please find attached the files.

Regards

Theo

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[Theo Boafo]

Hi Luigi,

Many thanks for getting back to me.  I would write the class from scratch.

Regards

Theo

-----Original Message-----
From: Luigi Ballabio <[hidden email]>
To: Theo Boafo <[hidden email]>
CC: QuantLib users <[hidden email]>
Sent: Tue, 18 Nov 2014 15:08
Subject: Re: [Quantlib-users] Fwd: fdm 3/4 dimensional solver for long dated fx

You're inheriting HybridFXHestonHullWhiteModel from HestonModel and HullWhite. Both define an arguments_ array that your class inherits, so the compiler can't decide which one you're referring to. The same holds for calibrate().

I don't think the whole multiple-inheritance thing is going to work, anyway. For instance, you can't just call the constructors of HestonModel and HullModel from the constructor of your class; they're going to write into the same positions in the arguments_ array, because each one thinks it owns it.  You're probably better off writing the class from scratch.

Luigi

On Wed, Nov 5, 2014 at 1:35 PM, Theo Boafo <[hidden email]> wrote:

Hi Klaus/Luigi,

I am looking at long dated fx i.e. stochastic vol with stochastic interest rates

4 factor model, Heston stochastic vol with stochastic domestic and foreign shot rates  i.e 

ds/s = (rd-rf) dt + sqrt(v) dw1
dv = k(@(t)-v) dt + volvol sqrt(v) dw2
drd = (theta(t) –rd) dt + sigma(t) dw3
drf = (theta(t) –rf) dt + sigma(t) dw4

I have made some code changes to the following files in Quantlib

(a) hybridhestonhullwhiteprocess.cpp/.hpp

(b) fdmhestonhullwhiteop.hpp/.cpp

(c) fdmhestonhullwhitesolver.cpp/.hpp

(d) fdhestonhullwhiteengine.cpp/.hpp

I have created 2 new files hybridhestonhullwhitemodel.hpp/.cpp and have the following errors

(a) QuantLib::HybridFXHestonHullWhiteModel::arguments is ambiguous

(b) The following line below in my calling program LongDatedFX has error QuantLib::HybridFXHestonHullWhiteModel::calibrate is ambiguous,so something wrong with design of HybridFXHestonHullWhiteModel class

	boost::shared_ptr<HybridFXHestonHullWhiteProcess> hybridFXHestonHullWhiteProcess(
		 new HybridFXHestonHullWhiteProcess(hestonModel->process(),domesticHwProcess,foreignHwProcess,corrFXDomesticShortRate,
		 corrFXForeignShortRate,corrDomesticForeignShortRate));

	boost::shared_ptr<HybridFXHestonHullWhiteModel> hybridFXRatesmodel(new HybridFXHestonHullWhiteModel(hybridFXHestonHullWhiteProcess));        

    LevenbergMarquardt vm(1e-6, 1e-2, 1e-2);
    hybridFXRatesmodel->calibrate(options, vm,EndCriteria(400, 40, 1.0e-8, 1.0e-4, 1.0e-8));

Please find attached the files.

Regards

Theo

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