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

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

Hello Javit,

I used this setting:

  TimeGrid grid(times.begin(), times.end(), 1);


        // defining the models
        boost::shared_ptr<G2> modelG2(new G2(rhTermStructure));
        boost::shared_ptr<HullWhite> modelHW(new
HullWhite(rhTermStructure));
        boost::shared_ptr<HullWhite> modelHW2(new
HullWhite(rhTermStructure));
        boost::shared_ptr<BlackKarasinski> modelBK(
                                        new
BlackKarasinski(rhTermStructure));

		//------------------ GHW model ---------

		std::vector<Date> GHWdates;
		GHWdates.push_back(calendar.advance(settlementDate,0,Years));
	
GHWdates.push_back(calendar.advance(settlementDate,12,Months,floatingLegConvention));
	
GHWdates.push_back(calendar.advance(settlementDate,73,Months,floatingLegConvention));

		std::vector<Real> a(3, 0.04);
		std::vector<Real> sigma(3, 0.1);

		boost::shared_ptr<GeneralizedHullWhite> generalizedHWmodel(
			new GeneralizedHullWhite(rhTermStructure, GHWdates, GHWdates, a, sigma));

Please correct me, if I've forgotten something. 

Cheers

Alexander



Javit Hafizoglu wrote:
> 
> Alexander,
> 
> I believe Luigi forgot to change the generalized HW code when he made the
> change in the parameter class to include the positive constraint. Your
> point for the "size()"  vs "size()+1" is valid.
> 
> I didn't notice anything because I still use the older version of GHW with
> quantlib 9.7.
> 
> Per the tests, I tested the GHW code and it worked when I submitted. I ran
> my tests by adding couple of lines into BermudanSwaption.cpp I used only
> two timepoints for the volatility and the reversion parameters. It takes
> significantly long if you include more time points. I would suggest both
> decreasing the timegrid and the timepoints (let me know if you don't
> understand what I meant here by timepoints) to decrease the optimization
> time. And once optimized, initiate your next search with the most recent
> model parameters.
> 
> Luigi, please let me know if you would like me to get involved also.
> 
> Thank you,
> Javit
> 
> 
> 
> Alexander Lotter wrote:
>> 
>> Hello Luigi,
>> 
>> thanks for the quick reply.
>> 
>>>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.
>> 
>> I am not sure this is enough. This peace of code in QL causes problems:
>> 
>> ----
>>  PiecewiseConstantParameter(const std::vector<Time>& times,
>>                                    const Constraint& constraint =
>>                                                             
>> NoConstraint())
>>         : Parameter(times.size()+1,
>>                     boost::shared_ptr<Parameter::Impl>(
>>                                  new
>> PiecewiseConstantParameter::Impl(times)),
>>                     constraint)
>>         {}
>> ----
>> 
>> should be
>> 
>> ----
>> public:
>>         PiecewiseConstantParameter(const std::vector<Time>& times,
>>                                    const Constraint& constraint =
>>                                                             
>> NoConstraint())
>>         : Parameter(times.size(),
>> ----                    
>> 
>> times.size() not times.size() + 1, in this case I get run time exception
>> in the following functions
>> 
>> ---
>> 
>>  boost::function<Real (Time)> GeneralizedHullWhite::speed() const {
>> 
>> 		std::vector<Real> speedvals;
>> 		speedvals.push_back(a_(0.0001));
>> 		for (Size i=0;i<a_.size()-1;i++)
>> 			speedvals.push_back(
>> 			a_(
>> 			(speedstructure_[i+1]-speedstructure_[0])/365.0
>> 			- 0.00001));
>> 
>> 		return PiecewiseLinearCurve(speedperiods_, speedvals);
>> 	}
>> 
>>     boost::function<Real (Time)> GeneralizedHullWhite::vol() const {
>> 
>> 		std::vector<Real> volvals;
>> 		volvals.push_back(sigma_(0.0001));
>> 		for (Size i=0;i<sigma_.size()-1;i++)
>> 			volvals.push_back(
>> 			sigma_(
>> 			(speedstructure_[i+1]-speedstructure_[0])/365.0
>> 			- 0.00001));
>> 
>> 		return PiecewiseLinearCurve(volperiods_, volvals);
>> 	}
>> ---
>> 
>> vector subscript out of range
>> 
>> a_.size() - 1 and sigma_.size() - 1 are bigger than speedstructure_[i+1]
>> 
>> 
> 
> 

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