August 17th, 2015, 12:50 am
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 bermudanSwaption(swap, bermudanExercise);boost::shared_ptr<HullWhite> modelHW(new HullWhite(yieldCurve,a,sigma));bermudanSwaption.setPricingEngine(boost::shared_ptr<PricingEngine>(new TreeSwaptionEngine(modelHW, calendar.businessDaysBetween(valuationDate,swapmaturity,true,true))));*************************************************************************************May I know the above implementation is assume constant mean revert (a) and sigma?If I would like to implement a time-dependent sigam in the HullWhite tree, how can I modify the code?Thanks for help.Kevin