Hi,
I'm trying to get some figures out of the quantlib libraries so that I can
test the efficiency of running some genetic programs to predict results. I
mainly code in java and do not have any real c++ experience. I've had a look
through the mailing list and the bermuda swaption example code that comes
with quantlib but have not quite figured out how to get the figures I am
after. I have 4 files of data -
a rates yield curve with 25 entries of this format
MM.USD.LIBOR.ON.T3750 Yield 3.9 up to
Swap.30Y.USD.LIBOR.6M/6M.T3750 Yield 5.25
500 days worth of shifts of this format
Days US.USD.ISZ 1D US.USD.ISZ 2D US.USD.ISZ 7D
23/09/03 1.02 1.02 1.01
a volsurface with all the entries as 10 like this
SWAPTION.USD.Rec.1M.5Y.LIBOR.3M.T3750.R0.0 Yield 10
and vol shifts for 500 days as
Date US.USD.ISO 1M.*.2Y US.USD.ISO 1M.*.5Y US.USD.ISO 1M.*.10Y
23/09/03 1.02 1.03 1.03
I was wondering if someone could let me know whether it would be reasonably
straightforward to get market prices for the 500 days using the hull-white
(analytic or numerical) models and if possible I would really be grateful if
someone could show me some example code I could use for this. I run ubuntu
and have installed the quantlib and boost libraries and can run the examples
in quantlib fine. If I am trying to do something completely wrong please let
me know because I only have a basic knowledge of finance and might be trying
to obtain something impossible from the data I have.
Many thanks,
Selvyr
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