Re:HullWhiteProcess class usage...

Posted by Toyin Akin on
URL: http://quantlib.414.s1.nabble.com/Re-HullWhiteProcess-class-usage-tp4782p4783.html

Hi,

Firstly excellent work (you and your team) on the new framework, I've been
playing with it for a
while.

Actually Luigi contributed this code within the dev version of CVS (no
examples though) and with the current problems that sourceforge is having
you cannot directly obtain this code.

Okay, basically I'm looking for a class similar to mchullwhiteengine that
uses the non-forward process class.

Basically I want to simply compute the payoff and discount. I do not want to
use some sort of forwarddate notion. I suspect that the non-forward
HullWhite process class provides this for me.
However the problem is how does one discount the payoff (line #79 of the
mchullwhiteengine.cpp file) if I use this class.