Posted by
Alexander Lotter on
URL: http://quantlib.414.s1.nabble.com/Generalized-Hull-White-model-problems-tp12503p12505.html
Hello Luigi,
thanks for the quick reply.
>The PiecewiseConstantParameter class was modified in revision 17224 to
>take an optional constraint, so that's taken care of; the code in the
>trunk instantiates it with a PositiveConstraint.
I am not sure this is enough. This peace of code in QL causes problems:
----
PiecewiseConstantParameter(const std::vector<Time>& times,
const Constraint& constraint =
NoConstraint())
: Parameter(times.size()+1,
boost::shared_ptr<Parameter::Impl>(
new PiecewiseConstantParameter::Impl(times)),
constraint)
{}
----
should be
----
public:
PiecewiseConstantParameter(const std::vector<Time>& times,
const Constraint& constraint =
NoConstraint())
: Parameter(times.size(),
----
times.size() not times.size() + 1, in this case I get run time exception in the following functions
---
boost::function<Real (Time)> GeneralizedHullWhite::speed() const {
std::vector<Real> speedvals;
speedvals.push_back(a_(0.0001));
for (Size i=0;i<a_.size()-1;i++)
speedvals.push_back(
a_(
(speedstructure_[i+1]-speedstructure_[0])/365.0
- 0.00001));
return PiecewiseLinearCurve(speedperiods_, speedvals);
}
boost::function<Real (Time)> GeneralizedHullWhite::vol() const {
std::vector<Real> volvals;
volvals.push_back(sigma_(0.0001));
for (Size i=0;i<sigma_.size()-1;i++)
volvals.push_back(
sigma_(
(speedstructure_[i+1]-speedstructure_[0])/365.0
- 0.00001));
return PiecewiseLinearCurve(volperiods_, volvals);
}
---
vector subscript out of range
a_.size() - 1 and sigma_.size() - 1 are bigger than speedstructure_[i+1]