RE: Lfm HullWhite Parameterization

Posted by Toyin Akin on
URL: http://quantlib.414.s1.nabble.com/Lfm-HullWhite-Parameterization-tp4788p4789.html

Hi,

I believe that the implementation is assuming a constant time period for
every period and has defaulted this constant time period as the difference
between the first fixing and the second fixing times.

It assumes that there are no stub periods (true due to the way you actually
construct LFM objects based on an Index object).

It's not perfect (in the case that you may get a funny length being computed
if holidays are present within this chosen first period). This effect will
thus  be applied to all periods.

Toy out.

>From: François du Vignaud <[hidden email]>
>Reply-To: François du Vignaud <[hidden email]>
>To: [hidden email]
>Subject: [Quantlib-users] Lfm HullWhite Parameterization
>Date: Thu, 18 May 2006 08:52:12 -0700 (PDT)
>
>Hi all,
>
>In the LfmHullWhiteParameterization classe implementation, I don't
>understand the following line:
>lambda.push_back(std::sqrt(  (var - cumVar)
>                                        / (fixingTimes[1] -
>fixingTimes[0])) );
>lfmhullwhiteparam.cpp (lines 80, 81)
>I'm wondering if it should not be:
>lambda.push_back(std::sqrt(  (var - cumVar)
>                                        / (fixingTimes[i+1] -
>fixingTimes[i])) );
>Regards,
>François
>
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>Date: Wed, 17 May 2006 09:13:03 +0000 (GMT)
>From: taiko vic <[hidden email]>
>Subject: [Quantlib-users] installation Quantlibaddin
>we hav no more problem to install quantlibAddin in Ubuntu.thanks
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