RE: Discounting by a Hull White object

Posted by Perissin Francesco on
URL: http://quantlib.414.s1.nabble.com/Discounting-by-a-Hull-White-object-tp2686p2687.html

Hi Amar,

if I am not wrong, it is correct that the discount value at a certain date is always equal to the discount given in termstructure. What is depending on a and sigma is the short rate in a certain point of the tree.

So, if you consider time t, you will have a set of tree points with different probabilities and different short rate levels, depending on a and sigma. When you want the discount at time t, you will somehow take a scalar product of the different discounts times their probabilities, and you will lose the dependancy of the volatility parameters.

 

Francesco

-----Original Message-----
From: amar singh [mailto:[hidden email]]
Sent: giovedì, 25 settembre 2003 09:05
To: quantlib users
Subject: [Quantlib-users] Discounting by a Hull White object

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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