Hi All,
I am looking for an example of how one would use the HullWhiteProcess class.
There is already an example of how one would use the HullWhiteForwardProcess
class within the
mcHullWhite Pricing Engine class.
The key issue for me are (because we do not need to use the
setForwardMeasureTime() function)
what adjustments needs to be made to a copy of the mcHullWhite Pricing
Engine class (within the PricingEngines/CapFloor folder) in order to make
use of the HullWhiteProcess object instead
(for example - the accrualFactor variable, which discount factors to use for
discounting the payoff at each period, stochastic, deterministic etc...).
In addition, because these classes are derived from the StochasticProcess1D
class, will they be processed correctly if used within the
StochasicProcessArray class. Let's say 2 HullWhiteProcess objects, an FX
process object along with a correlation matrix.
I know that person(s) from "Banca Profilo S.p.A" initially contributed this
code so if they or anyone else has an idea of how to the said class, it
would be great.
Best Regards,
Toyin Akin.
>From: Luigi Ballabio <
[hidden email]>
>To: Toyin Akin <
[hidden email]>
>Subject: Re: mcHullWhite Pricing Engine...
>Date: Fri, 05 May 2006 17:10:46 +0200
>
>
>On 05/02/2006 07:58:27 AM, Toyin Akin wrote:
>>Another question regarding lines #62 and #63 within the mcHullWhite
>>pricing engine.cpp file.
>>
>>You use +1 and +2 as indexes into the path array.
>>
>>I am making the assumption that the path[] array stores the short rates
>>and path[0] is the short rate on the fixing date of the first
>>caplet/floorlet (also the fixing rate to be used).
>
>No, path[0] is the current time (t = 0).
>
>As for your other questions, you might want to post on the mailing list so
>that you can reach the contributor of the processes. I haven't looked very
>hard into the implementation yet...
>
>Later,
> Luigi
>
>
>----------------------------------------
>
>All generalizations are false, including this one.
>-- Mark Twain
Locked
