QuantLib › quantlib-users

Generalized Hull White Model Code Example

Classic

List

Threaded

3 messages Options

Neo G.W.

Generalized Hull White Model Code Example

Hi!

I am trying to use the class GeneralizedHullWhite in the Experimental folder to calibrate against caplets and generate rate paths. The HullWhite class does not serve the purpose because I need to use non-constant alpha and sigma. However, I cannot find any code examples using GeneralizedHullWhite from the test-suite or anywhere on line. Has anyone used Generalized Hull White before? Can anyone kindly provide me some examples so I can learn? Thanks a lot!

Yours,

Neo

------------------------------------------------------------------------------
BPM Camp - Free Virtual Workshop May 6th at 10am PDT/1PM EDT
Develop your own process in accordance with the BPMN 2 standard
Learn Process modeling best practices with Bonita BPM through live exercises
http://www.bonitasoft.com/be-part-of-it/events/bpm-camp-virtual- event?utm_
source=Sourceforge_BPM_Camp_5_6_15&utm_medium=email&utm_campaign=VA_SF
_______________________________________________
QuantLib-users mailing list
[hidden email]
https://lists.sourceforge.net/lists/listinfo/quantlib-users

cheng li

答复: Generalized Hull White Model Code Example

Hi Guan,

I think you can look at the codes in test-suite and the example for BermudationSwaption. They both use Hull-White as one case, you can try to modified them to suite the Generalized Hull-White.

Regards,

Cheng

发件人: Guan Wang [mailto:[hidden email]]
发送时间: 2015年4月16日 22:04
收件人: [hidden email]
主题: [Quantlib-users] Generalized Hull White Model Code Example

Hi!

Yours,

Neo

Peter Caspers-4

Re: 答复: Generalized Hull White Model Code Example

I don't want to distract you from the GeneralizedHullWhite class, but
there is another implementation of the Hull White Model with piecewise
constant volatility and reversion under ql / experimental / models /
gsr.hpp. You can find example code under Examples / Gaussian1dModels
and in testsuite / gsr.cpp and testsuite / markovfunctional.cpp (the
latter covers the caplet calibration - for the Markov model, but that
doesn't matter because both have the same base class and engines, so
it is easy to translate that to the Gsr model).

Furthermore Matthias already implemented rate path scenario generation
using the Gsr class and described it in his nice blog here

https://ipythonquant.wordpress.com/2015/04/08/expected-exposure-and-pfe-simulation-with-quantlib-and-python/

best regards
Peter

On 17 April 2015 at 03:40, Cheng Li <[hidden email]> wrote:

> Hi Guan,
>
>
>
> I think you can look at the codes in test-suite and the example for
> BermudationSwaption. They both use Hull-White as one case, you can try to
> modified them to suite the Generalized Hull-White.
>
>
>
> Regards,
>
> Cheng
>
>
>
> 发件人: Guan Wang [mailto:[hidden email]]
> 发送时间: 2015年4月16日 22:04
> 收件人: [hidden email]
> 主题: [Quantlib-users] Generalized Hull White Model Code Example
>
>
>
> Hi!
>
>
>
> I am trying to use the class GeneralizedHullWhite in the Experimental folder
> to calibrate against caplets and generate rate paths. The HullWhite class
> does not serve the purpose because I need to use non-constant alpha and
> sigma. However, I cannot find any code examples using GeneralizedHullWhite
> from the test-suite or anywhere on line. Has anyone used Generalized Hull
> White before? Can anyone kindly provide me some examples so I can learn?
> Thanks a lot!
>
>
>
> Yours,
>
>
>
> Neo
>
>
> ------------------------------------------------------------------------------
> BPM Camp - Free Virtual Workshop May 6th at 10am PDT/1PM EDT
> Develop your own process in accordance with the BPMN 2 standard
> Learn Process modeling best practices with Bonita BPM through live exercises
> http://www.bonitasoft.com/be-part-of-it/events/bpm-camp-virtual- event?utm_
> source=Sourceforge_BPM_Camp_5_6_15&utm_medium=email&utm_campaign=VA_SF
> _______________________________________________
> QuantLib-users mailing list
> [hidden email]
> https://lists.sourceforge.net/lists/listinfo/quantlib-users
>