[ quantlib-Patches-2825951 ] Affine model term structure class

[SourceForge.net]

Patches item #2825951, was opened at 2009-07-23 12:20
Message generated for change (Comment added) made by sf-robot
You can respond by visiting:
https://sourceforge.net/tracker/?func=detail&atid=312740&aid=2825951&group_id=12740

Please note that this message will contain a full copy of the comment thread,
including the initial issue submission, for this request,
not just the latest update.
Category: None
Group: None
>Status: Closed
Resolution: None
Priority: 5
Private: No
Submitted By: sk77 (sk-77)
Assigned to: Nobody/Anonymous (nobody)
Summary: Affine model term structure class

Initial Comment:
Affine interest rate models have a nice feature: the prices of discount bonds in the future in some state of the world can be computed analytically. In this way one can quite efficiently recover the complete yield term structure in the future in some particular realisation. It would be nice to have a class derived from YieldTermStructure that implements this functionality. Attached is my implementation proposal. This implementation was developed and tested in VisualC++. To check the correctness of the implementation I have compared the prices of swaptions obtained by tree methods and by Monte-Carlo using this class. The tests were performed with Hull-White and G2 affine models.

Best regards,

Sasha


----------------------------------------------------------------------

>Comment By: SourceForge Robot (sf-robot)
Date: 2011-04-18 15:20

Message:
This Tracker item was closed automatically by the system. It was
previously set to a Pending status, and the original submitter
did not respond within 180 days (the time period specified by
the administrator of this Tracker).

----------------------------------------------------------------------

Comment By: SourceForge Robot (sf-robot)
Date: 2010-10-20 10:20

Message:
This Tracker item was closed automatically by the system. It was
previously set to a Pending status, and the original submitter
did not respond within 14 days (the time period specified by
the administrator of this Tracker).

----------------------------------------------------------------------

Comment By: Luigi Ballabio (lballabio)
Date: 2009-09-30 13:30

Message:
A question before I can apply the patch: who owns the copyright of the code
you contributed? Is it you, your employer, your own company...? Posting the
copyright attribution I should use, i.e., something like
    Copyright (C) 2009 Random J. Hacker
or
    Copyright (C) 2009 ACME inc.
would be best.


----------------------------------------------------------------------

You can respond by visiting:
https://sourceforge.net/tracker/?func=detail&atid=312740&aid=2825951&group_id=12740

------------------------------------------------------------------------------
Benefiting from Server Virtualization: Beyond Initial Workload
Consolidation -- Increasing the use of server virtualization is a top
priority.Virtualization can reduce costs, simplify management, and improve
application availability and disaster protection. Learn more about boosting
the value of server virtualization. http://p.sf.net/sfu/vmware-sfdev2dev
_______________________________________________
QuantLib-dev mailing list
[hidden email]
https://lists.sourceforge.net/lists/listinfo/quantlib-dev