Posted by
Luigi Ballabio on
Oct 13, 2010; 2:33pm
URL: http://quantlib.414.s1.nabble.com/Hull-White-and-CIR-path-generation-tp8550p8551.html
On Sat, 2010-10-02 at 12:49 +1000, Kamtsa Dragoslav wrote:
> I want to use the Hull White 1F and the CIR 1F implementations to
> generate explicit short rate/intensity paths. Could someone please
> point me to the relevant example or unit test to get me started,
> especially for the latter?
I'm afraid we're short on examples, but you might want to look in
<ql/processes>, especially hullwhiteprocess.hpp. I don't remember
exactly what paths are generated if you plug the processes there in a
PathGenerator (short-rate, I guess, but I'm not certain) but at least it
might give you an idea on how to implement a CIR process (which, I'm
afraid, we don't have at this time.)
Luigi
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