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

[javit <ca...@vi...>]

1) The code is the same as in Sourceforge. Actually, in my sourceforge post,
I provided a link (not the source code) to my original message in the
quantlib-dev group.

For 3), I'm working on the copyright thing with our group manager. It's
going to take sometime. Meanwhile, I would like to tidy up the code and
write a good example case.

For 2), there is a concern. Sadruddin Rejeb and/or StatPro Italia srl didn't
refer to any material about the trinomial tree generation method used in the
code. Comparing to the documents I have used in coding, the trinomial tree
structures are different by observation. I need some information about the
trinomial tree generation method in the trinomialtree class. Or instead, I
may create another trinomialtree class. In either caser, it would be better
to know more about the current trinomialtree class.

Thank you,
Javit


Luigi Ballabio wrote:
> 
> 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. 
> 
> 
> 
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Cavit (Javit) Hafizoglu
mailto:jav...@su... mailto:jav...@su... 
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