Re: [Quantlib-dev] Template based Hull White model

[Sebastian S. <seb...@sc...>]

Hi Arthur,

thank you for your comment. Indeed the patch file was not complete. Sorry for that.
I just submitted a revised patch file. In case my SVN tool again misses something I
also added the source files I added/modified. 

Unfortunately I had some trouble with the patch tool. Therefore I added a duplicate
item instead of a new attachment.

Meanwhile I also coded an AD enabled HW model. Since I use an unpublished tool
by a collegue I can not submit the complete code. However I added my QL files to
the ZIP (NOT in the diff-patch). This illustrates how Automatic Differentiation may 
work in this context in principle. I think it would be easy to adapt it to an open source
AD tool like ADOL-C for example.

Please let me know if you have any comments or problems with the patch.

Sebastian


On Jan 13, 2011, Arthur Pham <art...@gm...> wrote: 

Hi Sebastian,
I have some trouble to compile this.Did you svn add everything ? Seems that i miss some files in QuantLib\ql\experimental\templatehullwhite after I apply the patch.

 I've personally used automatic differentiation for conjugate gradient minization and also for certain greeks calculations (with closed formed formula for the premium). It looks much better than the classic "finite difference" calculation for greeks.

Cheers,
Arthur PHA...@gm...
On Mon, Jan 10, 2011 at 6:40 AM, Sebastian Schlenkrich <seb...@sc...> wrote:




Hi Luigi,



thanks for your response. I just submitted a patch and an example XL workbook.



Please let me know if you have any questions or remarks.



Sebastian





On Jan 7, 2011, Luigi Ballabio <lui...@gm...> wrote:



On Tue, 2010-12-28 at 14:05 +0000, seb...@sc... wrote:

> I coded a Hull White model in the QuantLib framework which I would

> like to contribute to the experimental folder. I am aware that there

> is already a Hull White model in QuantLib. Nevertheless I think it is

> not duplicate work. [...] I would like to know if I should simply

> submit a patch and/or if you would like to discuss the approach first

> in the mailing list.



Hi Sebastian,

I guess any discussion would require seeing the code anyway, so please

go ahead and submit the patch.



Thanks,

Luigi





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