Update Hull/White's r0 when the underlying term structure is relinked#2592
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coverage: 74.638%. remained the same — jewonj0620:hw_fix_bug into lballabio:master |
lballabio
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May 21, 2026
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| void HullWhite::generateArguments() { | ||
| r0_ = termStructure()->forwardRate(0.0, 0.0, Continuous, NoFrequency); |
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This is probably simpler and faster as zeroRate(0.0, Continuous, NoFrequency);
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This fixes the documented
HullWhiteissue where the inheritedVasicek::r0_value was not updated after the underlying term-structure handle was relinked.HullWhiteobserves the term-structure handle and rebuilds its fitting parameter ingenerateArguments(), butr0_was only initialized in the constructor. As a result, after relinking the handle to a new curve,model.r0()could still return the initial curve's short rate.This change updates
r0_inHullWhite::generateArguments()from the current term structure's instantaneous forward rate, keeping it consistent with the relinked curve.A regression test was added to check that
HullWhite::r0()changes after relinking aRelinkableHandle<YieldTermStructure>.Add a test for this :
run_test=QuantLibTests/ShortRateModelTests/testHullWhiteUpdatesR0WhenTermStructureRelinks