[Quantlib-dev] Re:[Quantlib-users] HullWhiteProcess class usage...

[marco\.tarenghi\@libero\.it <mar...@li...>]

Hi Toyin, my name is Marco and I am one of the persons who contributed th=
e forward processes files to QuantLib.
Actually I have to say that we cannot find the files you mentioned in you=
r mail...
We have the 0.3.12 release, but we do not find the forward processes neit=
her the mcHullWhite pricing engine class.
Where did you find them?
Anyway I cannot clearly understand your problem: I mean, the two processe=
s are nearly the same so you should be able to instantiate them in the sa=
me 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 instantia=
te only simple StochasticProcess1D objects if you need to use the stocahs=
ticProcessArray. Actually, when we developed the forward processes classe=
s, 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) vi=
a 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 t=
ime on this silly fact...
I do not know what you are really interested in, but if you need a proces=
s containing two other process, I sugget you to follow the g2Process idea=
, that is creating a new stochasticProcess containing two simple processe=
s, 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 ques=
tion.

Regards,
Marco


---------- Initial Header -----------

From      : qua...@li...
To          : qua...@li..., qua...@li...=
urceforge.net
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 c=
lass.
> There is already an example of how one would use the HullWhiteForwardPr=
ocess 
> 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 ma=
ke 
> use of the HullWhiteProcess object instead
> (for example - the accrualFactor variable, which discount factors to us=
e for 
> discounting the payoff at each period, stochastic, deterministic etc...=
).
> 
> In addition, because these classes are derived from the StochasticProce=
ss1D 
> class, will they be processed correctly if used within the 
> StochasicProcessArray class. Let's say 2 HullWhiteProcess objects, an F=
X 
> 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  ra=
tes 
> >>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 =3D 0).
> >
> >As for your other questions, you might want to post on the mailing lis=
t  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
> 
> 
> 
> 
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