Posted by
newbie73 on
URL: http://quantlib.414.s1.nabble.com/Vasicek-1Factor-Model-tp1349p1351.html
I have added a definition similar to the HullWhite definition, but Vasicek(...) cannot be found in the QuantLib namespace. The code I added to shortratemodels.i is below:
%{
using QuantLib::Vasicek;
typedef boost::shared_ptr<ShortRateModel> VasicekPtr;
%}
%rename(Vasicek) VasicekPtr;
class VasicekPtr : public boost::shared_ptr<ShortRateModel> {
public:
%extend
{
VasicekPtr( Rate r0 = 0.05,
Real a = 0.1,
Real b = 0.05,
Real sigma = 0.01,
Real lambda = 0.0);
{
return new VasicekPtr(new HullWhite(r0, a, b, sigma, lambda));
}
DiscountFactor discount(Time t) const
{
return boost::dynamic_pointer_cast<Vasicek>(*self)->discount(t);
}
}
};
---------------------------------------------------
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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