[Quantlib-users] Rebuild curve handle from Hull-White short rate paths

[Philippe H. <phi...@ex...>]

I followed published code to generate paths of short rates using the
Hull-White model via already published code as follows.

hw_process = ql.HullWhiteProcess(crv_handle, mean_rev, sigma)
rng = ql.GaussianRandomSequenceGenerator(ql.UniformRandomSequenceGenerator(time_step,
ql.UniformRandomGenerator()))
seq = ql.GaussianPathGenerator(hw_process, length_years, time_step, rng, False)
for i in range(num_paths):
    sample_path = seq.next()
    path = sample_path.value()

 My question, very simply, is: "
What is the easiest way to rebuild a curve handle from the path of rates
created by the HW process above?"
My goal is to use such curve handle to reprice bond instances via NPV(), so
I need a curve handle. I could certainly bootstrap/compound the short rates
to create discount factors (zero coupon prices) from each path above, from
which to build a ZeroCurve() but I was hoping there is a more direct method?


Regards

Philippe

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