Discounting by a Hull White object

Posted by amar singh on
URL: http://quantlib.414.s1.nabble.com/Discounting-by-a-Hull-White-object-tp2686.html

I have a doubt whether values of the parameters a and sigma would have effect on the discounting data provided by the HullWhite model. It seems that discount function value for the model exactly matches the discount function of the underlying termstructure used in creation, at each point till the maturity. It tried using different values of a and sigma, but they do not have any effect at all. Am I doing or assuming something wrong?

 

 

double a=.8;

double sigma=.5

Time t = 2.0;

HullWhite hullObject(rhTermStructure,a,sigma);

std::cout << hullObject.discount(t) << std::endl;

std::cout << rhTermStructure->discount(t) << std::endl;

 

 

 

Thanks,

Amar

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