Posted by
sebastian-106 on
Dec 28, 2010; 2:05pm
URL: http://quantlib.414.s1.nabble.com/Template-based-Hull-White-model-tp8987.html
Hi,
I coded a Hull White model in the QuantLib framework which I would like to contribute to the experimental folder. I am aware that there is already a Hull White model in QuantLib. Nevertheless I think it is not duplicate work.
The key feature of my approach is that the model is completely template based. That is also the reason why (unfortunately) I can not inherit from the existing model classes. The reason for the template approach is that I intent to apply Automatic Differentiation tools (see e.g.
www.autodiff.org) to evaluate derivatives (i.e. Greeks), in particular w.r.t. the volatility (Bermudan Vegas).
The model features replication of the observed yield curve (of course), constant mean reversion, and piece-wise constant short rate volatility. It allows the evaluation of and calibration to European bond options. Moreover, it allows to price Bermudan bond options by successive (numerical) evaluation of the expected payoff (and discounting). It is not intended to price these derivatives on a tree because the model allows more accurate (semi-) analytical expressions.
In addition to the (template based) model class I coded a bond option instrument and a pricing engine which manages the calibration of the model to coterminal European swaptions (which is to my knowledge the market standard calibration approach). The Excel interface is configured and an example workbook demonstrates the approach.
I would like to know if I should simply submit a patch and/or if you would like to discuss the approach first in the mailing list.
I would appreciate any comments.
Sebastian
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