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[Quantlib-dev] Re:[Quantlib-users] HullWhiteProcess class usage...
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From: Toyin A. <toy...@ho...> - 2006-05-11 10:03:22
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Hi, Firstly excellent work (you and your team) on the new framework, I've been playing with it for a while. Actually Luigi contributed this code within the dev version of CVS (no examples though) and with the current problems that sourceforge is having you cannot directly obtain this code. Okay, basically I'm looking for a class similar to mchullwhiteengine that uses the non-forward process class. Basically I want to simply compute the payoff and discount. I do not want to use some sort of forwarddate notion. I suspect that the non-forward HullWhite process class provides this for me. However the problem is how does one discount the payoff (line #79 of the mchullwhiteengine.cpp file) if I use this class. From the current implementation within the mchullwhiteengine.cpp file, an accural factor is computed (upto the forward date) and then the payoff discounted by the deterministic discount factor of the forward date. As the non-forward HullWhite process has no notion of the forward time, I'm not too sure how one modifies the code within the mchullwhiteengine.cpp (line #79) file in order to discount correctly (ie, do you simply discount each payoff by the deterministic discount factor of the paymant date and forget about the multiplication of the accuralfactor?) Let's put this another way (in case the logic above is incorrect)... Basically I'm looking for examples of using all of the four interest rate process objects within the pricing of an instrument under a montecarlo setting. Once I have this "bigger picture", I'm sure I'll be able to price the way that I wish too. Best Reagrds, Toyin Akin. >From: "mar...@li..." <mar...@li...> >CC: "quantlib-dev" <qua...@li...>,"quantlib-users" ><qua...@li...>,"luigi.ballabio" ><lui...@gm...> >Subject: Re:[Quantlib-users] HullWhiteProcess class usage... >Date: Thu, 11 May 2006 11:55:17 +0200 > >Hi Toyin, my name is Marco and I am one of the persons who contributed the >forward processes files to QuantLib. >Actually I have to say that we cannot find the files you mentioned in your >mail... >We have the 0.3.12 release, but we do not find the forward processes >neither the mcHullWhite pricing engine class. >Where did you find them? >Anyway I cannot clearly understand your problem: I mean, the two processes >are nearly the same so you should be able to instantiate them in the same >way and you can avoid to set the ForwardMeasureTime. >But probably if I could see the files I would better understand. > >On the other side you are also right: at the moment you have to instantiate >only simple StochasticProcess1D objects if you need to use the >stocahsticProcessArray. Actually, when we developed the forward processes >classes, we focused on the pricing side of the problem. When the process is >in the risk neutral measure, you cannot price the instrument (e.g. a cap) >via Monte Carlo. >This problem was much more evident in the g2Process, where passing to the >forward measure also the correlation matrix changes: we spent a lot of time >on this silly fact... >I do not know what you are really interested in, but if you need a process >containing two other process, I sugget you to follow the g2Process idea, >that is creating a new stochasticProcess containing two simple processes, >and these processes could be either forward processes or not. Just be >careful when considering the measure in which you're doing the pricing!! > >I hope I've been clear, please feel free to contact me for any other >question. > >Regards, >Marco > > >---------- Initial Header ----------- > >From : qua...@li... >To : qua...@li..., >qua...@li... >Cc : lui...@gm... >Date : Thu, 11 May 2006 03:16:02 +0100 >Subject : [Quantlib-users] HullWhiteProcess class usage... > > > > > > > > > > > Hi All, > > > > I am looking for an example of how one would use the HullWhiteProcess >class. > > There is already an example of how one would use the >HullWhiteForwardProcess > > class within the > > mcHullWhite Pricing Engine class. > > > > The key issue for me are (because we do not need to use the > > setForwardMeasureTime() function) > > what adjustments needs to be made to a copy of the mcHullWhite Pricing > > Engine class (within the PricingEngines/CapFloor folder) in order to >make > > use of the HullWhiteProcess object instead > > (for example - the accrualFactor variable, which discount factors to use >for > > discounting the payoff at each period, stochastic, deterministic >etc...). > > > > In addition, because these classes are derived from the >StochasticProcess1D > > class, will they be processed correctly if used within the > > StochasicProcessArray class. Let's say 2 HullWhiteProcess objects, an FX > > process object along with a correlation matrix. > > > > I know that person(s) from "Banca Profilo S.p.A" initially contributed >this > > code so if they or anyone else has an idea of how to the said class, it > > would be great. > > > > Best Regards, > > Toyin Akin. > > > > >From: Luigi Ballabio <lui...@gm...> > > >To: Toyin Akin <toy...@ho...> > > >Subject: Re: mcHullWhite Pricing Engine... > > >Date: Fri, 05 May 2006 17:10:46 +0200 > > > > > > > > >On 05/02/2006 07:58:27 AM, Toyin Akin wrote: > > >>Another question regarding lines #62 and #63 within the mcHullWhite > > >>pricing engine.cpp file. > > >> > > >>You use +1 and +2 as indexes into the path array. > > >> > > >>I am making the assumption that the path[] array stores the short >rates > > >>and path[0] is the short rate on the fixing date of the first > > >>caplet/floorlet (also the fixing rate to be used). > > > > > >No, path[0] is the current time (t = 0). > > > > > >As for your other questions, you might want to post on the mailing list > so > > >that you can reach the contributor of the processes. I haven't looked >very > > >hard into the implementation yet... > > > > > >Later, > > > Luigi > > > > > > > > >---------------------------------------- > > > > > >All generalizations are false, including this one. > > >-- Mark Twain > > > > > > > > > > ------------------------------------------------------- > > Using Tomcat but need to do more? Need to support web services, >security? > > Get stuff done quickly with pre-integrated technology to make your job >easier > > Download IBM WebSphere Application Server v.1.0.1 based on Apache >Geronimo > > http://sel.as-us.falkag.net/sel?cmd=lnk&kid=120709&bid=263057&dat=121642 > > _______________________________________________ > > Quantlib-users mailing list > > Qua...@li... > > https://lists.sourceforge.net/lists/listinfo/quantlib-users > > > > > >------------------------------------------------------- >Using Tomcat but need to do more? Need to support web services, security? >Get stuff done quickly with pre-integrated technology to make your job >easier >Download IBM WebSphere Application Server v.1.0.1 based on Apache Geronimo >http://sel.as-us.falkag.net/sel?cmd=lnk&kid0709&bid&3057&dat1642 >_______________________________________________ >Quantlib-users mailing list >Qua...@li... >https://lists.sourceforge.net/lists/listinfo/quantlib-users |
