Generalized Hull White Model

[Alexander Lotter]

Hello all,

I've just found the Generalized Hull-White model in the experimental folder. Does anybody already tested the model and have results? Does the usual calibration used for the one factor Hull-White applies to the Generalized Hull-White model as well?

I would be very thankful for any information or a code example.

Cheers

Alexander

[Kim Kuen Tang]

Alexander Lotter schrieb:
> Hello all,
>
> I've just found the Generalized Hull-White model in the experimental folder.
> Does anybody already tested the model and have results? Does the usual
> calibration used for the one factor Hull-White applies to the Generalized
> Hull-White model as well?
>  
Sorry, dont know which generalized Hull-White model in the experimental
folder you mean.
Which version of quantlib? trunk?

And which implemented class in c++  do you refer to? (  g2.xpp ?)

-Kim

> I would be very thankful for any information or a code example.
>
> Cheers
>
> Alexander
>  


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[Alexander Lotter]

Hello Kim,

I am talking about: http://quantlib.svn.sourceforge.net/viewvc/quantlib/trunk/QuantLib/ql/experimental/shortrate/

Check generalizedhullwhite.xpp (7 Weeks ago).

Alex