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

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

toyin sent me the files and now I know that they are in the CVS.

I think there is not a simple way to modify the files you mentioned: the =
pricing formulas implemented in the code are referred to a forward measur=
e.
The idea is: I write the pricing formula in a chosen measure and then sim=
ulate in that measure.
So, the most natural measure (at least for caps/floors and many other ins=
truments) is the forward measure.
If you want to simulate the dynamics in another measure, than you have to=
 write the pricing formula in that measure (and not always it is possible=
, for eaxample I do not know analytical formulas for pricing caps in the =
risk neutral framework). Then it is just a matter of implementing it: rem=
ember that the endDiscount_ in nmHullWhiteEngine is the actual discount (=
ie zero coupon price) and its use is justified by forward measure pricing=
, but you cannot use it in the case of risk neutral pricing.
The discount factor is a random variable and it can be substitued with th=
e price only in case of the relative forward measure.
The idea is similar to the one of bgm pricing.

regards,
Marco