Re: Template based Hull White model

Posted by Arthur Pham on
URL: http://quantlib.414.s1.nabble.com/Template-based-Hull-White-model-tp8987p8990.html

Hi Sebastian,

I have some trouble to compile this.

Did you svn add everything ? Seems that i miss some files in QuantLib\ql\experimental\templatehullwhite after I apply the patch.

 I've personally used automatic differentiation for conjugate gradient minization and also for certain greeks calculations (with closed formed formula for the premium). It looks much better than the classic "finite difference" calculation for greeks.

Cheers,

Arthur PHAM

[hidden email]

On Mon, Jan 10, 2011 at 6:40 AM, Sebastian Schlenkrich <[hidden email]> wrote:

Hi Luigi,

thanks for your response. I just submitted a patch and an example XL workbook.

Please let me know if you have any questions or remarks.

Sebastian

On Jan 7, 2011, Luigi Ballabio <[hidden email]> wrote:

On Tue, 2010-12-28 at 14:05 +0000, [hidden email] wrote:
> 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. [...] 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.

Hi Sebastian,
I guess any discussion would require seeing the code anyway, so please
go ahead and submit the patch.

Thanks,
Luigi


--

A little inaccuracy sometimes saves tons of explanation.
-- H.H. Munro, "Saki"



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