Re: G2::FittingParameter

[Lars Schouw]

Luigi

The function G2::dynamics()  is never called.
I just tryed to setup in the debugger running the BermudanSwaption example.

Or am I overlooking something?

Cheers,
Lars


Lars Schouw <[hidden email]> wrote:

Luigi

Thank your for a fast answer like always.

shortRate belonging to G2::Dynamics is never called.
I guess we can remove this code that is never used?
It also become clear that this is not needed when reading the Brigo Mercurio book chaper 4.2.

Regards
Lars Schouw

On 11/24/2005 05:15:55 AM, Lars Schouw wrote:
> I can't see where the method value() in the class G2::FittingParameter
> is called from. It must be called from somewhere!!
> This is in the header file g2.hpp

It is called inside G2::Dynamics::shortRate. The fitting_ variable is a G2::FittingParameter. When fitting_(t) is called, operator() delegates to value().

Luigi

 

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[Lars Schouw]

Is that only when using the tree?

Lars Schouw <[hidden email]> wrote:

Luigi

The function G2::dynamics()  is never called.
I just tryed to setup in the debugger running the BermudanSwaption example.

Or am I overlooking something?

Cheers,
Lars


Lars Schouw <[hidden email]> wrote:

Luigi

Thank your for a fast answer like always.

shortRate belonging to G2::Dynamics is never called.
I guess we can remove this code that is never used?
It also become clear that this is not needed when reading the Brigo Mercurio book chaper 4.2.

Regards
Lars Schouw

On 11/24/2005 05:15:55 AM, Lars Schouw wrote:
> I can't see where the method value() in the class G2::FittingParameter
> is called from. It must be called from somewhere!!
> This is in the header file g2.hpp

It is called inside G2::Dynamics::shortRate. The fitting_ variable is a G2::FittingParameter. When fitting_(t) is called, operator() delegates to value().

Luigi

 

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[Lars Schouw]

Is that only when using the tree?

Lars Schouw

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[Lars Schouw]

Is that only when using the tree?

Lars Schouw

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Lars, the fnction G2::dynamics() is actually used when pricing using trees. It is the reimplementation of the pure virtual function

virtual boost::shared_ptr<ShortRateDynamics> dynamics() const = 0;

defined in the file twofactormodel.hpp.
It is called in the function

boost::shared_ptr<NumericalMethod>
TwoFactorModel::tree(const TimeGrid& grid) const {
    boost::shared_ptr<ShortRateDynamics> dyn = dynamics();
    ...
}

in two factormodel.cpp.

Bye,
marco




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[quantlib-users-admin]

> Is that only when using the tree?
>
> Lars Schouw
>
> ---------------------------------
> Relax. Yahoo! Mail virus scanning helps detect nasty viruses!