QuantLib_BlackKarasinski_Dynamics man page

BlackKarasinski::Dynamics — Short-rate dynamics in the Black-Karasinski model.


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

Inherits OneFactorModel::ShortRateDynamics.

Public Member Functions

Dynamics (const Parameter &fitting, Real alpha, Real sigma)

Real variable (Time t, Rate r) const
Compute state variable from short rate.
Real shortRate (Time t, Real x) const
Compute short rate from state variable.

Detailed Description

Short-rate dynamics in the Black-Karasinski model.

The short-rate is here [ r_t = e^{varphi(t) + x_t} ] where $ varphi(t) $ is the deterministic time-dependent parameter (which can not be determined analytically) used for term-structure fitting and $ x_t $ is the state variable following an Ornstein-Uhlenbeck process.


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Referenced By

Dynamics(3), shortRate(3) and variable(3) are aliases of QuantLib_BlackKarasinski_Dynamics(3).

QuantLib Version 1.8.1 Fri Sep 23 2016