Hi Quantlib!
Sorry for my newbie question .... Using the first part of BermudanSwaption.cpp example, I managed to calibrate some short rate models. I now would like to generate some (eg. 1000) paths of the short rate for each model I've calibrated. How can I do it ? Thank you in advance for your help. Best, Tom ------------------------------------------------------------------------- This SF.net email is sponsored by: Microsoft Defy all challenges. Microsoft(R) Visual Studio 2008. http://clk.atdmt.com/MRT/go/vse0120000070mrt/direct/01/ _______________________________________________ QuantLib-users mailing list [hidden email] https://lists.sourceforge.net/lists/listinfo/quantlib-users |
Hi Tom,
Please allow a newbie to give his feeling who never used those models : >From what I can see, the short rate models are implemented as lattices, not as monte carlo engines (which would make sense, especially for Bermudan swaptions). There might be a way to use those models within a MC framework, but I can't see how. I'll let the big guns confirm or otherwise. Amicalement, Fabrice -----Original Message----- From: [hidden email] [mailto:[hidden email]] On Behalf Of Tommaso Sent: Wednesday, 12 March 2008 7:41 PM To: [hidden email] Subject: [Quantlib-users] Short rate model and short rate process Hi Quantlib! Sorry for my newbie question .... Using the first part of BermudanSwaption.cpp example, I managed to calibrate some short rate models. I now would like to generate some (eg. 1000) paths of the short rate for each model I've calibrated. How can I do it ? Thank you in advance for your help. Best, Tom ------------------------------------------------------------------------ - This SF.net email is sponsored by: Microsoft Defy all challenges. Microsoft(R) Visual Studio 2008. http://clk.atdmt.com/MRT/go/vse0120000070mrt/direct/01/ _______________________________________________ QuantLib-users mailing list [hidden email] https://lists.sourceforge.net/lists/listinfo/quantlib-users ************** IMPORTANT MESSAGE ***************************** This e-mail message is intended only for the addressee(s) and contains information which may be confidential. If you are not the intended recipient please advise the sender by return email, do not use or disclose the contents, and delete the message and any attachments from your system. Unless specifically indicated, this email does not constitute formal advice or commitment by the sender or the Commonwealth Bank of Australia (ABN 48 123 123 124) or its subsidiaries. We can be contacted through our web site: commbank.com.au. If you no longer wish to receive commercial electronic messages from us, please reply to this e-mail by typing Unsubscribe in the subject line. ************************************************************** ------------------------------------------------------------------------- This SF.net email is sponsored by: Microsoft Defy all challenges. Microsoft(R) Visual Studio 2008. http://clk.atdmt.com/MRT/go/vse0120000070mrt/direct/01/ _______________________________________________ QuantLib-users mailing list [hidden email] https://lists.sourceforge.net/lists/listinfo/quantlib-users |
In reply to this post by Tommaso-3
On Wed, 2008-03-12 at 09:41 +0100, Tommaso wrote:
> Using the first part of BermudanSwaption.cpp example, I managed to > calibrate some short rate models. > > I now would like to generate some (eg. 1000) paths of the short rate for > each model I've calibrated. > > How can I do it ? For Hull-White, you can extract the model parameters from the calibrated model and use them to instantiate a HullWhiteProcess (or, depending on the measure you need, a HullWhiteForwardProcess.) You can then pass the process to a PathGenerator and ask it for paths. You can have a look at the MCHullWhiteCapFloorEngine to see how this can be done. Luigi -- I am extraordinarily patient, provided I get my own way in the end. -- Margaret Thatcher ------------------------------------------------------------------------- This SF.net email is sponsored by: Microsoft Defy all challenges. Microsoft(R) Visual Studio 2008. http://clk.atdmt.com/MRT/go/vse0120000070mrt/direct/01/ _______________________________________________ QuantLib-users mailing list [hidden email] https://lists.sourceforge.net/lists/listinfo/quantlib-users |
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