[Quantlib-dev] [ quantlib-Patches-2897358 ] Generalized Hull White model with non-constant parameters

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Patches item #2897358, was opened at 2009-11-13 18:38
Message generated for change (Comment added) made by lballabio
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Category: None
Group: None
>Status: Closed
>Resolution: Duplicate
Priority: 5
Private: No
Submitted By: Nobody/Anonymous (nobody)
>Assigned to: Luigi Ballabio (lballabio)
Summary: Generalized Hull White model with non-constant parameters

Initial Comment:
Generalized Hull White model with non-constant parameters
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. 

These files need an addition/modification to the parameter class. Change the NoConstraint() condition in PiecewiseConstantParameter class to PositiveConstraint(). Or define another class in the parameter.hpp and name it PiecewiseConstantParameter2. This is how I did it. I changed the code in PiecewiseConstantParameter class 

from -------- 
     public: 
        PiecewiseConstantParameter(const std::vector<Time>& times) 
        : Parameter(times.size()+1, 
                    boost::shared_ptr<Parameter::Impl>( 
                                 new PiecewiseConstantParameter2::Impl(times)), 
                    NoConstraint()) 
to ---------- 
     public: 
        PiecewiseConstantParameter2(const std::vector<Time>& times) 
        : Parameter(times.size(), 
                    boost::shared_ptr<Parameter::Impl>( 
                                 new PiecewiseConstantParameter2::Impl(times)), 
                    PositiveConstraint()) 

You will obviously nedd to make some changes to the paths in the include commands. 

I would like these to be added to the quantlib library in the future. Please let me know what you think and also what I should do to make it a non-experimental contribution. 

Thank you, 
Javit 

Please follow this link for the source : 
http://old.nabble.com/Generalized-Hull-White-model-with-non-constant-parameters-td26287370.html



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>Comment By: Luigi Ballabio (lballabio)
Date: 2010-03-17 12:10

Message:
I've applied the more updated version you sent to mailing list instead.
Thanks for the contribution.


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