Re: Vasicek 1Factor Model

Posted by Luigi Ballabio on
URL: http://quantlib.414.s1.nabble.com/Vasicek-1Factor-Model-tp1349p1350.html

On Fri, 2007-09-14 at 03:45 -0700, newbie73 wrote:

> I am using QuantLib .8.0 on OSX 10.3 through the Python SWIG interface.  The
> Bermudan Swaption example shows the creation of a HullWhite 1 Factor model.
> The Vasicek.hpp file suggests that, like the HullWhite model, I should be
> able to construct a Vasicek 1Factor instance with:
>
> vas = Vasicek(...)
>
> Yet this function cannot be found.  Inspecting the QuantLib namespace with
> dir(QuantLib) did not reveal a Vasicek(...) function either.  Does anyone
> know how to create an instance of this model and/or whether there is a
> problem with the SWIG interface that is preventing it from being visible?

No, I think it's just not exported. You can modify the relevant SWIG
interface file (shortratemodels.i) and add it---just clone what is done
for the other models.

Later,
        Luigi


--

This gubblick contains many nonsklarkish English flutzpahs, but the
overall pluggandisp can be glorked from context.
-- David Moser



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