Is it possible to change r0_ in Hullwhite and recalculate bond valuation.

[ming lu-2]

Hi everyone,

I have a question regarding the HullWhite model, I am wondering if it
is possible to calibrate the HullWhite, then change r0_ and keep
everything else intact, then recalculate the valuation of a bond?

thanks,

Ming Lu

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[Matthew Gline]

If I understand your question correctly, the calibrated HullWhite model inherits a member function discountBond that may do what you want. It takes a start time in years, a maturity time, and a short rate. You can use that to price a discount bond for a short rate of your choosing, or to get arbitrary discount factors, from which you could build a discount curve and price other cash flows.

On Friday, January 18, 2013 at 7:22 PM, ming lu wrote:

Hi everyone,

I have a question regarding the HullWhite model, I am wondering if it

is possible to calibrate the HullWhite, then change r0_ and keep

everything else intact, then recalculate the valuation of a bond?

thanks,

Ming Lu

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[Luigi Ballabio]

No, r0_ is not accessible.  If you want to change it, you have two ways.
The nasty way is to make it public (or to add a read-write accessor to
the Vasicek class, which is only a bit less nasty; the nastiness comes
from providing the means to change a parameter and not notify the
observers of the model).
The cleaner way is to retrieve the parameters a,b,lambda and sigma
from the calibrated model and instantiate another Vasicek model with
those parameters and the r0 you want (not a Hull-White model, since it
takes just a and sigma and sets the others to 0). Once you have the
new model instance, you can use it to price your instruments.

Hope this helps,
    Luigi


On Sat, Jan 19, 2013 at 1:22 AM, ming lu <[hidden email]> wrote:

> Hi everyone,
>
> I have a question regarding the HullWhite model, I am wondering if it
> is possible to calibrate the HullWhite, then change r0_ and keep
> everything else intact, then recalculate the valuation of a bond?
>
> thanks,
>
> Ming Lu
>
> ------------------------------------------------------------------------------
> Master Visual Studio, SharePoint, SQL, ASP.NET, C# 2012, HTML5, CSS,
> MVC, Windows 8 Apps, JavaScript and much more. Keep your skills current
> with LearnDevNow - 3,200 step-by-step video tutorials by Microsoft
> MVPs and experts. SALE $99.99 this month only -- learn more at:
> http://p.sf.net/sfu/learnmore_122912
> _______________________________________________
> QuantLib-users mailing list
> [hidden email]
> https://lists.sourceforge.net/lists/listinfo/quantlib-users

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