QuantLib_BlackKarasinski man page

BlackKarasinski — Standard Black-Karasinski model class.

Synopsis

#include <ql/models/shortrate/onefactormodels/blackkarasinski.hpp>

Inherits OneFactorModel, and TermStructureConsistentModel.

Classes

class Dynamics
Short-rate dynamics in the Black-Karasinski model.

Public Member Functions

BlackKarasinski (const Handle< YieldTermStructure > &termStructure, Real a=0.1, Real sigma=0.1)

boost::shared_ptr< ShortRateDynamics > dynamics () const
returns the short-rate dynamics
boost::shared_ptr< Lattice > tree (const TimeGrid &grid) const
Return by default a trinomial recombining tree.

Additional Inherited Members

Detailed Description

Standard Black-Karasinski model class.

This class implements the standard Black-Karasinski model defined by [ dln r_t = ( heta(t) - alpha ln r_t)dt + sigma dW_t, ] where $ alpha $ and $ sigma $ are constants.

Examples: BermudanSwaption.cpp.

Author

Generated automatically by Doxygen for QuantLib from the source code.

Referenced By

BlackKarasinski(3) and dynamics(3) are aliases of QuantLib_BlackKarasinski(3).

Fri Sep 23 2016 Version 1.8.1 QuantLib