>
> Hi All,
>
> I am looking for an example of how one would use the HullWhiteProcess c=
lass.
> There is already an example of how one would use the HullWhiteForwardPr=
ocess
> 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 ma=
ke
> use of the HullWhiteProcess object instead
> (for example - the accrualFactor variable, which discount factors to us=
e for
> discounting the payoff at each period, stochastic, deterministic etc...=
).
>
> In addition, because these classes are derived from the StochasticProce=
ss1D
> class, will they be processed correctly if used within the
> StochasicProcessArray class. Let's say 2 HullWhiteProcess objects, an F=
X
> 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 ra=
tes
> >>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 =3D 0).
> >
> >As for your other questions, you might want to post on the mailing lis=
t 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
>
>
>
>
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