Generalized_HullWhite::Generalized_HullWhite(const Handle<YieldTermStructure>& termStructure,
std::vector<Date> dates,
std::vector<Real> sigma,
Real a,
Real fxVol,
Real fxCorr)
: Vasicek(termStructure->forwardRate(0.0, 0.0, Continuous, NoFrequency), a, 0.0, sigma[0], 0.0), a0_(a),
TermStructureConsistentModel(termStructure), fxVol_(fxVol), fxCorr_(fxCorr)
{
a_ = NullParameter();
b_ = NullParameter();
lambda_ = NullParameter();
DayCounter dc = termStructure->dayCounter();
//volperiods_.push_back(0.0);
for (Size i=0; i<dates.size()-1; i++)
volperiods_.push_back(dc.yearFraction(Settings::instance().evaluationDate(), dates[i]));
sigma_ = PiecewiseConstantParameter(volperiods_, PositiveConstraint());
for (Size i=0; i< sigma_.size(); i++)
sigma_.setParam(i, sigma[i]);
generateArguments();
registerWith(termStructure);
}
HullWhite::HullWhite(const Handle<YieldTermStructure>& termStructure,
Real a, Real sigma)
: Vasicek(termStructure->forwardRate(0.0, 0.0, Continuous, NoFrequency),
a, 0.0, sigma, 0.0),
TermStructureConsistentModel(termStructure) {
b_ = NullParameter();
lambda_ = NullParameter();
generateArguments();
registerWith(termStructure);
}
