[Quantlib-dev] Generalized Hull-White model problems

[Alexander L. <ale...@go...>]

Hello Javit,

I found the Generalized Hull-White model checked by Luigi into the trunk a
couple of months ago.

As you told me, the newest version was (see .zip file):
http://old.nabble.com/Generalized-Hull-White-model-with-non-constant-parameters-td26287370.html#a26635940

The last version in trunk on sourceforge as far as I know 17226. This
version have some differences to the version you posted in that archive in
december 2009.

There is also no examples in the current trunk of the QuantLib, which
contains your version of BermudanSwaptions or some code for the test-suite. 

There is no a version of PiecewiseConstantParameter2 as you proposed to
implement. So, without this change, I couldn't get the current trunk version
to run without run-time error (vector subscript out of range). As I added
this class, I got the current version to run, but calibration took me too
long to wait.

To be simple:

trunk version (quick check
http://quantlib.svn.sourceforge.net/viewvc/quantlib/trunk/QuantLib/ql/experimental/shortrate/)

generalizedhullwhite.cpp

...
a_ = PiecewiseConstantParameter(speedperiods_, PositiveConstraint());
...

your version in the zip file

a_ = PiecewiseConstantParameter2(speedperiods_, PositiveConstraint());

I reduced the TimeGrid from 30 to 1 as you proposed (see your
BermudanSwaption example):

// Building time-grid
TimeGrid grid(times.begin(), times.end(), 1);

The calibration still take too long, never comes back.

I get stuck here on calibrateModel:

---------------------------------------
	std::cout << "Generalized Hull-White calibration" << std::endl;
        for (i=0; i<swaptions.size(); i++)
            swaptions[i]->setPricingEngine(boost::shared_ptr<PricingEngine>(
                                      new
TreeSwaptionEngine(generalizedHWmodel, grid)));

		calibrateModel(generalizedHWmodel, swaptions);

---------------------------------------

I tried 

 // Building time-grid
        TimeGrid grid(times.begin(), times.end(), 30);

as well as

 // Building time-grid
        TimeGrid grid(times.begin(), times.end(), 1);

Any suggestions?

I would like to assist on this issues and get the trunk version to work
properly. We could also add the sample to the BermudanSwaption and
test-suite as well. 

Please correct me if I missed something.

Take care

Alex
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