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by ksmchan
August 17th, 2015, 12:50 am
Forum: General Forum
Topic: Building time-dependent sigma of HullWhite tree using Quantlib
Replies: 1
Views: 2643

Building time-dependent sigma of HullWhite tree using Quantlib

<t>Hi all,I would like to build a Hull White tree using Quantlib and I have implement the following C++ code:*************************************************************************************boost::shared_ptr<Exercise> bermudanExercise(new BermudanExercise(bermudanDates));Swaption bermudanSwaptio...
by ksmchan
July 22nd, 2015, 8:18 am
Forum: The Quantitative Finance Code Library Project
Topic: Hull White in Quantlib (build tree)
Replies: 2
Views: 5629

Hull White in Quantlib (build tree)

I tried to write the following, but seems fail, any idea? ThanksTrinomialTree hwTree = modelHW->tree;cout << hwTree.size(0);Kevin
by ksmchan
July 22nd, 2015, 3:08 am
Forum: The Quantitative Finance Code Library Project
Topic: Hull White in Quantlib (build tree)
Replies: 2
Views: 5629

Hull White in Quantlib (build tree)

The following is my HullWhite definition:TimeGrid grid(times.begin(), times.end(), 30);boost::shared_ptr<HullWhite> modelHW(new HullWhite(yieldCurve));Thanks for help
by ksmchan
July 22nd, 2015, 3:00 am
Forum: The Quantitative Finance Code Library Project
Topic: Hull White in Quantlib (build tree)
Replies: 2
Views: 5629

Hull White in Quantlib (build tree)

Hi all,How can I use Quantlib to print out each tree node value and probability for my Hull White trinomial tree? Thanks.Kevin
by ksmchan
August 17th, 2012, 3:24 am
Forum: Technical Forum
Topic: Basis swap valuation
Replies: 1
Views: 12137

Basis swap valuation

Hi all,For basis swap, say USD libor 1m vs 3m, should I apply the 1x3 basis spread in the discount curve for valuation?Similar case for currency basis swap, say USD 3m libor vs JPY 3m libor, should I apply the currency basis spread in the discount curve for valuation?Thanks for help.Kevin
by ksmchan
August 10th, 2012, 5:49 am
Forum: General Forum
Topic: Credit spread of Fixed coupon bond and Floater
Replies: 0
Views: 11248

Credit spread of Fixed coupon bond and Floater

<t>Hi all, I use the Bloomberg function "SWPM -ASW" to calculate the credit spread of a bond. Within this page, it allows me to choose receive fixed or receive float for calculation and both will get different result. Which one I should choose in order to calculate the credit spread correctly?Also w...
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