Generalized Hull White Model Code Example

Posted by Neo G.W. on Apr 16, 2015; 1:51pm
URL: http://quantlib.414.s1.nabble.com/Generalized-Hull-White-Model-Code-Example-tp16491.html

Hi!

I am trying to use the class GeneralizedHullWhite in the Experimental folder to calibrate against caplets and generate rate paths. The HullWhite class does not serve the purpose because I need to use non-constant alpha and sigma. However, I cannot find any code examples using GeneralizedHullWhite from the test-suite or anywhere on line. Has anyone used Generalized Hull White before? Can anyone kindly provide me some examples so I can learn? Thanks a lot!

Yours,

Neo

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