[Quantlib-dev] HullWhiteProcess question

[<Paw...@ha...>]

Hello

Currently HullWhiteProcess::alpha(Time t) looks like this:
        Real alfa = a_ > QL_EPSILON ?
                (sigma_/a_)*(1 - std::exp(-a_*t)) :
                sigma_*t;
        alfa *= 0.5*alfa;
        alfa += h_->forwardRate(0.0,0.0,Continuous,NoFrequency);
        return alfa;

This looks to me like it would make the process revert to the time 0 short 
rate, while the rest of the curve gets ignored. I think that maybe the 
fifth line should read:
alfa += h_->forwardRate(t,t,Continuous,NoFrequency);

Also, if my understanding of HullWhiteForwardProcess is correct, then a 
similar line in HullWhiteForwardProcess::alpha(Time ) might need changing 
to:
alfa += h_->forwardRate(t, t + T_, Continuous, NoFrequency);

And HullWhiteForwardProcess::x0() should probably return:
h_->forwardRate(0.0, T_, Continuous, NoFrequency);
rather than the current:
process_->x0();

Of course the chances are I'm missing something, in which case I'll 
appreciate a pointer in the right direction.

Thank you,
Pawel

*************************************************************************
This communication, including attachments, is
for the exclusive use of addressee and may contain proprietary,
confidential and/or privileged information.  If you are not the intended
recipient, any use, copying, disclosure, dissemination or distribution is
strictly prohibited.  If you are not the intended recipient, please notify
the sender immediately by return e-mail, delete this communication and
destroy all copies.
*************************************************************************