public HullWhiteProcess Calibrate(DiscountCurve disc)
{
//preset parameters, calibrating these is skipped due to the lack of openly accessible market data
//might worth implementing later
double a = 0.31, sigma = 0.008;
//market instantaneous forward rate
ForwardRate = disc.ForwardRate;
Theta =
t => Utils.Derive(x => ForwardRate(x), t)
+ a * ForwardRate(t)
+ sigma * sigma / (2.0 * a * a) * (1.0 - Math.Exp(-2.0 * a * t));
Func <double, double> alpha =
t => a *ForwardRate(t)
+ sigma * sigma / (2.0 * a * a) * (1.0 - Math.Exp(-2.0 * a * t));
return(new HullWhiteProcess(Theta, a, sigma));
}
public double Price(PricingRequest request)
{
DiscountCurve dc = (DiscountCurve)request.Ycs.get();
IProcess calibratedProcess = RSCalibrator.Calibrate(dc);
double r0 = dc.ForwardRate(0.01);
return(request.Instrument.Price(calibratedProcess, new RSProcess.State(r0, 0), 0, step, n));
}
public static RSProcess Calibrate(DiscountCurve dc)
{
return(new RSProcess(0.31, 0.008, dc.ForwardRate));
}