Bugs item #1610233, was opened at 2006-12-06 16:59
Message generated for change (Comment added) made by lballabio
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Category: None
Group: None
>Status: Closed
>Resolution: Fixed
Priority: 5
Private: No
Submitted By: Nobody/Anonymous (nobody)
>Assigned to: Luigi Ballabio (lballabio)
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,
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>Comment By: Luigi Ballabio (lballabio)
Date: 2007-11-26 15:24
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The problem has been fixed.
Thanks for the report.
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Comment By: Nobody/Anonymous (nobody)
Date: 2006-12-22 11:54
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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