public HullWhite(Handle <YieldTermStructure> termStructure,
double a, double sigma)
: base(termStructure.link.forwardRate(0.0, 0.0, Compounding.Continuous, Frequency.NoFrequency).rate(),
a, 0.0, sigma, 0.0)
{
this.termStructure_ = termStructure;
b_ = arguments_[1] = new NullParameter(); //to change
lambda_ = arguments_[3] = new NullParameter(); //to change
generateArguments();
termStructure.registerWith(update);
}
public HullWhite(Handle<YieldTermStructure> termStructure,
double a, double sigma)
: base(termStructure.link.forwardRate(0.0, 0.0, Compounding.Continuous, Frequency.NoFrequency).rate(),
a, 0.0, sigma, 0.0)
{
this.termStructure_ = termStructure;
b_ = arguments_[1] = new NullParameter(); //to change
lambda_ = arguments_[3] = new NullParameter(); //to change
generateArguments();
termStructure.registerWith(update);
}
