Re: [Quantlib-dev] Generalized Hull White model with non-constant parameters

[Luigi B. <lui...@gm...>]

On Tue, 2009-11-10 at 10:31 -0800, javit wrote:
> I modified the Black-Karasinski and the Ornstein-Uhlenbcek classes to build a
> generalized Hull-White model with time-dependent drift and volatility
> parameters. It consists of four files pasted at the bottom of this message: 
> GeneralizedOUprocess.hpp, 
> GeneralizedOUprocess.cpp, 
> GeneralizedHW.hpp and
> GeneralizedHW.cpp. 

Thanks, Javit.  I'll add the files to the library as soon as I get some
time.  I've a few questions, namely:

1) are the files attached here the same as the ones in the Sourceforge
patch tracker, or is one version more recent than the other?

2) it would be nice to have a test case for the new classes to add to
the test suite.  Do you think you can find some time to code it?

3) and finally, there's the usual matter of copyright attribution.
Should the copyright be attributed to you or your company (if any?)
And if you're not self-employed, are you sure that your company is ok
with you contributing code?

Later,
	Luigi


-- 

Hanlon's Razor: 
Never attribute to malice that which is adequately explained 
by stupidity.