Re: Lfm HullWhite Parameterization

Posted by Klaus Spanderen on
URL: http://quantlib.414.s1.nabble.com/Lfm-HullWhite-Parameterization-tp4788p4790.html

Hi

the bootstrapping is an implementation of the algorithm outlined in chapter
2.1 of http://www.rotman.utoronto.ca/~amackay/fin/libormktmodel2.pdf and the
formula is the result of the assumptions made in the article.

IMO and as Toy said their assumptions make sense only if the periods are of
(more or less) equal length. Anyway market data (cap qoutes) usually used for
bootstrapping will be based on constant time periods.

cheers
 Klaus

On Thursday 18 May 2006 6:24 pm, Toyin Akin wrote:

> 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
> >
> >----- Original Message ----
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> >Date: Wed, 17 May 2006 09:13:03 +0000 (GMT)
>
> From: taiko vic <[hidden email]>
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> >Subject: [Quantlib-users] installation Quantlibaddin
> >we hav no more problem to install quantlibAddin in Ubuntu.thanks
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