答复: Generalized Hull White Model Code Example

Posted by cheng li on Apr 17, 2015; 1:28am
URL: http://quantlib.414.s1.nabble.com/Generalized-Hull-White-Model-Code-Example-tp16491p16492.html

Hi Guan,

 

I think you can look at the codes in test-suite and the example for BermudationSwaption. They both use Hull-White as one case, you can try to modified them to suite the Generalized Hull-White.

 

Regards,

Cheng

 

发件人: Guan Wang [mailto:[hidden email]]
发送时间: 2015年4月16日 22:04
收件人: [hidden email]
主题: [Quantlib-users] Generalized Hull White Model Code Example

 

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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