Bugs item #1610233, was opened at 2006-12-06 07:59
Message generated for change (Comment added) made by nobody
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Category: None
Group: None
Status: Open
Resolution: None
Priority: 5
Private: No
Submitted By: Nobody/Anonymous (nobody)
Assigned to: Nobody/Anonymous (nobody)
Summary: Bug in HullWhiteProcess.cpp
Initial Comment:
The calculation in HullWhiteProcess.cpp of alpha seems wrong to me?
Shouldn't the forwardRate-part in the alpha-formula be calculated from time 0 till time t, instead of calcualting the forwardRate from 0 to 0?
Sincerely,
Jeroen,
[hidden email]
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Comment By: Nobody/Anonymous (nobody)
Date: 2006-12-22 02:54
Message:
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I would like to correct my previous statement:
the forwardRate-part in the alpha-formula should be calculated from time t
till time t, instead of calcualting the forwardRate from 0 to 0. We need
the instantaneous forwardRate in this case, at time t.
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