Patches item #2897358, was opened at 2009-11-13 17:38
Message generated for change (Tracker Item Submitted) 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: 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
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