Re: [Quantlib-dev] [Quantlib-users] Hull-White and CIR path generation

[Simon I. <Sim...@fs...>]

Hi All,

I'm doing some work on path generation (Monte-Carlo) for the CIR
process.

I've written some code for generating random numbers for the Gamma
distribution, the Chi-squared distribution and the Non-Central
Chi-Squared distribution but I need to wrap these up into a path
generator for CIR which can then be used for Monte-Carlo pricing.

I can see some examples of random-sequence generators within the
MonteCarlo framework.
But I don't want to use the InverseCumulativeRsg as inverting the CIR
distribution is really slow compared to sampling from the Non-Central
Chi-Squared.

So, I'm assuming that (to use the Monte Carlo framework) I need to
create 
1) A CIR sequence generator.
2) A RNG traits template class which enables the CIR sequence generator
class. 

Is this correct? Or is there something that I've missed?

Thanks,

Simon



-----Original Message-----
From: Luigi Ballabio [mailto:lui...@gm...] 
Sent: 13 October 2010 15:34
To: Kamtsa Dragoslav
Cc: qua...@li...
Subject: Re: [Quantlib-users] Hull-White and CIR path generation

On Sat, 2010-10-02 at 12:49 +1000, Kamtsa Dragoslav wrote:
> I want to use the Hull White 1F and the CIR 1F implementations to
> generate explicit short rate/intensity paths. Could someone please
> point me to the relevant example or unit test to get me started,
> especially for the latter?

I'm afraid we're short on examples, but you might want to look in
<ql/processes>, especially hullwhiteprocess.hpp.  I don't remember
exactly what paths are generated if you plug the processes there in a
PathGenerator (short-rate, I guess, but I'm not certain) but at least it
might give you an idea on how to implement a CIR process (which, I'm
afraid, we don't have at this time.)

Luigi


-- 

When all else fails, pour a pint of Guinness in the gas tank, 
advance the spark 20 degrees, cry "God Save the Queen!", and pull 
the starter knob. 
-- MG "Series MGA" Workshop Manual 



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