Re: [Quantlib-dev] Generalized Hull-White model problems

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

On Sun, 2010-05-23 at 01:27 -0700, Alexander Lotter wrote:
> 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.

Yes. The differences are meant to be.

> 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. 

True, for some reason the example didn't make into the commit.
I remember it working, though.

> 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.

The PiecewiseConstantParameter class was modified in revision 17224 to
take an optional constraint, so that's taken care of; the code in the
trunk instantiates it with a PositiveConstraint.

Anyway, I'll try to get the example working and get back.

Luigi


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