HybridHestonHullWhiteProcess

[Darek-10]

I am generating paths using HybridHestonHullWhiteProcess and MultiPathGenerator

const boost::shared_ptr<HybridHestonHullWhiteProcess> jointProcess( new HybridHestonHullWhiteProcess(hestonProcess, hwProcess, -0.4));

jointProcess->size() is 3

Can someone explain what each of the 3 values correspond to?

path.value[0..3]???

Thanks

Darek

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[Klaus Spanderen-2]

Hi

path.value[0] is the equity value, path.value[1] is the instantaneous variance
of the equity process (first to values are the Heston process) and
path.value[2] is the short rate.

regards
 Klaus

On Friday 29 July 2011 21:54:49 Darek wrote:

> I am generating paths using HybridHestonHullWhiteProcess
> and MultiPathGenerator
>
> const boost::shared_ptr<HybridHestonHullWhiteProcess> jointProcess( new
> HybridHestonHullWhiteProcess(hestonProcess, hwProcess, -0.4));
>
>
> jointProcess->size() is 3
>
>
> Can someone explain what each of the 3 values correspond to?
>
> path.value[0..3]???
>
>
> Thanks
> Darek

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