How to get forward rate volatilities

[amar singh]

Given SwaptionHelper and Termstructure objects calibrated using JamshidianSwaption on the HullWhite model(as mentioned in BermudanSwaption.cpp example ), how can I get the forward rate volatities for different points in the term structure? Or,is it an invalid question??

 

 

Thanks,

Amar

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[Luigi Ballabio-2]

At 08:40 AM 10/2/03, amar singh wrote:
>Given SwaptionHelper and Termstructure objects calibrated using
>JamshidianSwaption on the HullWhite model(as mentioned in
>BermudanSwaption.cpp example ), how can I get the forward rate volatities
>for different points in the term structure? Or,is it an invalid question??

Amar,
         the question is valid. Right now I'm not able to give you a
detailed recipe, but once you have

     Handle<OneFactorModel> hullWhite;

I think your best bet is to use

     model->dynamics();

and

     model->dynamics()->process();

to get the expectation value and variance of the underlying state variable.
 From there, some analytics (look into the interest-rate model book closest
t your desk) should give you the corresponding quantities for the short
rate and the forward rates.

Hope this helps,
                 Luigi