Patches item #2897358, was opened at 2009-11-13 18:38
Message generated for change (Comment added) made by lballabio
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Category: None
Group: None
>Status: Closed
>Resolution: Duplicate
Priority: 5
Private: No
Submitted By: Nobody/Anonymous (nobody)
>Assigned to: Luigi Ballabio (lballabio)
Summary: Generalized Hull White model with non-constant parameters
Initial Comment:
Generalized Hull White model with non-constant parameters
I modified the Black-Karasinski and the Ornstein-Uhlenbcek classes to build a generalized Hull-White model with time-dependent drift and volatility parameters. It consists of four files pasted at the bottom of this message:
GeneralizedOUprocess.hpp,
GeneralizedOUprocess.cpp,
GeneralizedHW.hpp and
GeneralizedHW.cpp.
These files need an addition/modification to the parameter class. Change the NoConstraint() condition in PiecewiseConstantParameter class to PositiveConstraint(). Or define another class in the parameter.hpp and name it PiecewiseConstantParameter2. This is how I did it. I changed the code in PiecewiseConstantParameter class
from --------
public:
PiecewiseConstantParameter(const std::vector<Time>& times)
: Parameter(times.size()+1,
boost::shared_ptr<Parameter::Impl>(
new PiecewiseConstantParameter2::Impl(times)),
NoConstraint())
to ----------
public:
PiecewiseConstantParameter2(const std::vector<Time>& times)
: Parameter(times.size(),
boost::shared_ptr<Parameter::Impl>(
new PiecewiseConstantParameter2::Impl(times)),
PositiveConstraint())
You will obviously nedd to make some changes to the paths in the include commands.
I would like these to be added to the quantlib library in the future. Please let me know what you think and also what I should do to make it a non-experimental contribution.
Thank you,
Javit
Please follow this link for the source :
http://old.nabble.com/Generalized-Hull-White-model-with-non-constant-parameters-td26287370.html----------------------------------------------------------------------
>Comment By: Luigi Ballabio (lballabio)
Date: 2010-03-17 12:10
Message:
I've applied the more updated version you sent to mailing list instead.
Thanks for the contribution.
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You can respond by visiting:
https://sourceforge.net/tracker/?func=detail&atid=312740&aid=2897358&group_id=12740------------------------------------------------------------------------------
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