Re: Hull & White with fixed parameter

Posted by Francesco Perissin on
URL: http://quantlib.414.s1.nabble.com/Hull-White-with-fixed-parameter-tp7179p7181.html

Hi all again,

 

Is there a simpler way that doesn't modify the Vasicek implementation?

 

In QL 0.3 I did a FixedAlphaHullWhite class, derived from HullWhite, which had a private member, derived from Optimization::Constraint::Impl, that was passing the correct parms to the optimization engines.

 

I attach the old implementation of the class, which was working perfectly under QL0.3., oping that somebody has some good ideas about...

 

 

2010/4/22 Kim Kuen Tang <[hidden email]>

Hi Francesco,

Francesco Perissin schrieb:

Hi all,
I need to calibrate the HullWhite model keeping fixed the a parameter.
 In order to do that, I think that I have to develop a FixedAlphaHullWhite class, derived from HullWhite, with a modification in the FittingParamater::Impl class, in order to

Vasicek is the class that you need to modify. The class FittingParamater is there to fit the termstructure (yield curve). In the current implementation a_ is initialized with arguments_[0], which is a member in the class model (ql\models\model.hpp). This is how it tells quantlib that a_ is a calibration parameter.

Take a look at the constructor:

Vasicek::Vasicek(Rate r0, Real a, Real b, Real sigma, Real lambda)
  : OneFactorAffineModel(4), r0_(r0),
    a_(arguments_[0]), b_(arguments_[1]), sigma_(arguments_[2]),
    lambda_(arguments_[3]) {
      a_ = ConstantParameter(a, PositiveConstraint());
      b_ = ConstantParameter(b, NoConstraint());
      sigma_ = ConstantParameter(sigma, PositiveConstraint());
      lambda_ = ConstantParameter(lambda, NoConstraint());
  }

What you need to do, is to tell Vasicek that there are only three parameters to calibrate , instead of four. Then you need to decouple a_ from the calibration process which is straightforward.


HTH

Cheers
Kim

have only sigma as fitting parameter, and erediting alpha from the FixedAlphaHullWhite class.
 I am not so keen in C++, so I have some trouble in doing this.
 Any suggestions?
 Many thanks
Francesco

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