Possible problem on bermuda swaptions: 2

Posted by Luca Berardi on Feb 24, 2005; 1:49am
URL: http://quantlib.414.s1.nabble.com/Possible-problem-on-bermuda-swaptions-2-tp3621.html


Hi Luigi,

as I told you in my previous email it seems to me there is a problem
with rollback over hull-white trees. I wrote a piece of code
reproducing it, which I'm sending out in the attachment.  This is the
point: considering (discretized) discount bonds, they get initialized
correctly (at 1.) but after rollback the have in some point of the
tree, values greater than one, which seems unacceptable to me.
I tried to go have a look at the Tree code, but got confused with the
TrinomialBranching mechanics...

The attachments:
latticeTest.cpp -> is the code reproducing the above behavior.
latticeDebug.txt-> is the output describing the (possible) error.

Ciao,
Luca




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