Hull White Tree

[Guowen Han-2]

Hi Group,

 

In the Hull White class, as of the document, the member function tree() returns a trinomial tree. However the prototype is boost::shared_ptr<NumericMethod>, it does not have member functions such as discount(), probability(). Can someone tell me how to access the trinomial tree structure?

 

Thanks.

 

Guowen

[keztenpens]

Hi,

You have to perform a dynamic cast to the required type :

boost::shared_ptr<ShortRateTree> shortRateTree = 
	boost::dynamic_pointer_cast<<ShortRateTree>(hw->tree());

----- Message d'origine ----
De : Guowen Han <[hidden email]>
À : [hidden email]
Envoyé le : Mercredi, 20 Septembre 2006, 5h47mn 43s
Objet : [Quantlib-users] Hull White Tree

Hi Group,

 

In the Hull White class, as of the document, the member function tree() returns a trinomial tree. However the prototype is boost::shared_ptr<NumericMethod>, it does not have member functions such as discount(), probability(). Can someone tell me how to access the trinomial tree structure?

 

Thanks.

 

Guowen

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[Guowen Han-2]

This does not work. Anyone has different suggestions?

 

Thanks.

 

On 9/20/06, keztenpens <[hidden email]> wrote:

Hi,

You have to perform a dynamic cast to the required type :

boost::shared_ptr<ShortRateTree> shortRateTree = 

	boost::dynamic_pointer_cast<<ShortRateTree>(hw->tree());

----- Message d'origine ----
De : Guowen Han <[hidden email]>
À : [hidden email]
Envoyé le : Mercredi, 20 Septembre 2006, 5h47mn 43s
Objet : [Quantlib-users] Hull White Tree

Hi Group,

 

In the Hull White class, as of the document, the member function tree() returns a trinomial tree. However the prototype is boost::shared_ptr<NumericMethod>, it does not have member functions such as discount(), probability(). Can someone tell me how to access the trinomial tree structure?

 

Thanks.

 

Guowen

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[Guowen Han-2]

Hi Luigi,

 

I am using QuantLib 3.10.

I have an error message saying that ShortRateTree is not defined even the ql/ShortRateModel/onefactormodel.hpp is includeed. I guess this is because that the ShortRateTree is an inner class of OneFactorModel. Then I changed it to use OneFactorModel::ShortRateTree, the problem then changed to be that ShortRateTree is protected.

 

Looks like I am missing something here.

 

Thanks,

 

Guowen

 

On 9/24/06, Luigi Ballabio <[hidden email]> wrote:

On Sep 24, 2006, at 3:02 AM, Guowen Han wrote:

> This does not work. Anyone has different suggestions?

In which way it doesn't work? (except for the double << which should be
a single one)

Luigi


> On 9/20/06, keztenpens <[hidden email]> wrote: Hi,
>>
>> You have to perform a dynamic cast to the required type :
>> boost::shared_ptr<ShortRateTree> shortRateTree =
>>
>>         boost::dynamic_pointer_cast<<ShortRateTree>(hw->tree());

[Luigi Ballabio]

On Sun, 2006-09-24 at 10:07 -0400, Guowen Han wrote:
> I have an error message saying that ShortRateTree is not defined even
> the ql/ShortRateModel/onefactormodel.hpp is includeed. I guess this is
> because that the ShortRateTree is an inner class of OneFactorModel.
> Then I changed it to use OneFactorModel::ShortRateTree, the problem
> then changed to be that ShortRateTree is protected.

Oh, I see. The inner class is no longer protected in the latest
releases. You can just declare it as public and recompile.

Luigi



 

> On 9/24/06, Luigi Ballabio <[hidden email]> wrote:
>        
>         On Sep 24, 2006, at 3:02 AM, Guowen Han wrote:
>        
>         > This does not work. Anyone has different suggestions?
>        
>         In which way it doesn't work? (except for the double << which
>         should be
>         a single one)
>        
>         Luigi
>        
>        
>         > On 9/20/06, keztenpens <[hidden email]> wrote: Hi,
>         >>
>         >> You have to perform a dynamic cast to the required type :
>         >> boost::shared_ptr<ShortRateTree> shortRateTree =
>         >>
>         >>
>         boost::dynamic_pointer_cast<<ShortRateTree>(hw->tree());
>        
>        
>

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