Posted by
Luigi Ballabio on
Mar 13, 2008; 11:20am
URL: http://quantlib.414.s1.nabble.com/Short-rate-model-and-short-rate-process-tp5663p5664.html
On Wed, 2008-03-12 at 09:41 +0100, Tommaso wrote:
> Using the first part of BermudanSwaption.cpp example, I managed to
> calibrate some short rate models.
>
> I now would like to generate some (eg. 1000) paths of the short rate for
> each model I've calibrated.
>
> How can I do it ?
For Hull-White, you can extract the model parameters from the calibrated
model and use them to instantiate a HullWhiteProcess (or, depending on
the measure you need, a HullWhiteForwardProcess.) You can then pass the
process to a PathGenerator and ask it for paths. You can have a look at
the MCHullWhiteCapFloorEngine to see how this can be done.
Luigi
--
I am extraordinarily patient, provided I get my own way in the end.
-- Margaret Thatcher
-------------------------------------------------------------------------
This SF.net email is sponsored by: Microsoft
Defy all challenges. Microsoft(R) Visual Studio 2008.
http://clk.atdmt.com/MRT/go/vse0120000070mrt/direct/01/_______________________________________________
QuantLib-users mailing list
[hidden email]
https://lists.sourceforge.net/lists/listinfo/quantlib-users