[Quantlib-users] Hull-White Two-Factor Model

[Jan M. <jan...@gm...>]

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