[Quantlib-users] Drift adjustment in Jamshidian Engine and HW Prcoess

[philippe h. <pha...@ma...>]

Is there any information about how the Jamshidian engine does the drift adjustment to match the initial curve for the Hull White model?
If I want to use the QL HW Process in a MC model, I assume II have to do the drift adjustment myself, or is there existing QL functionality to do that?

Regards

Philippe Hatstadt
+1-203-252-0408
https://www.linkedin.com/in/philippe-hatstadt