Posted by
Luigi Ballabio on
URL: http://quantlib.414.s1.nabble.com/DiscretizedDiscountBond-and-Tree-tp1230p1234.html
On Mon, 2007-07-30 at 13:24 +0300, koray sarıteke wrote:
> I am going to write tree enigne for bond -like TreeVanillaSwapEngine-
> but DiscretizedDiscountBond class membership function mandatoryTimes()
> returns empty vector. I am going to use HullWhite::tree for tree.
Korai,
DiscretizedDiscountBond is a very simple implementation of a
zero-coupon bond---it is more an utility for building other instruments
than an instrument itself. For an example of a full-featured instrument,
you can look at DiscretizedSwap (which rolls back both a fixed-rate and
a floating-rate leg.) To see how to add callability to an instrument,
look at DiscretizedSwaption.
Later,
Luigi
--
It is always the best policy to tell the truth, unless, of course,
you are an exceptionally good liar.
-- Jerome K. Jerome
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