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From: Jan M. <jan...@gm...> - 2021-11-03 13:30:43
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Hey, I have two HullWhite (ql.HullWhite) models which are being fed into ql.TreeCallableFixedRateBondEngine. I also have a correlation matrix, is it possible to merge these two trinomial trees (forming a new trinomial tree) to price the bonds? or do I have to use ql.HullWhiteProcess in some way? I still want to be able to calculate the clean price, dirty price, OAS etc. Best Regards, Jan Muller |