Re: Exposing GeneralizedHullWhite in QuantLibXL

Posted by Hyung-Seok Hahm on
URL: http://quantlib.414.s1.nabble.com/Exposing-GeneralizedHullWhite-in-QuantLibXL-tp14826p14833.html

Hi Peter,

In fact, I moved the methods from private to public. I know it is not the smartest thing to do, but for the sake of practicality. After being sure that the code works, I will make the code prettier. 

Thanks for the heads up. I'll look into that then.

Cheers,

Hyungseok 

On Thu, Jan 9, 2014 at 7:44 PM, Peter Caspers <[hidden email]> wrote:

> The corresponding part of GeneralizedHullWhite.hpp in QuantLib is
>
>         boost::function<Real (Time)> speed() const;
>         boost::function<Real (Time)> vol() const;

no, it isn't. These are private methods of the class, if I am not
mistaken, not part of the constructor. The
latter reads

        GeneralizedHullWhite(
            const Handle<YieldTermStructure>& yieldtermStructure,
            const std::vector<Date>& speedstructure,
            const std::vector<Date>& volstructure,
            const std::vector<Real>& speed,
            const std::vector<Real>& vol);

so you should check your wrapper code (or post it here for further
clarification).

Depending on what you are planning to do, a look into the sister
folder ql/experimental/models might also
be interesting (well at the moment probably only if you connect to the
current git master, not on a released
version).

Best regards
Peter

--

Hyungseok Hahm, PhD, FRM   

Quantitative Analyst 

Industrial Bank of Korea

Trading Department

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