QuantLib_GeneralizedHullWhite man page

GeneralizedHullWhite — Generalized Hull-White model class.

Synopsis

#include <ql/experimental/shortrate/generalizedhullwhite.hpp>

Inherits OneFactorAffineModel, and TermStructureConsistentModel.

Classes

class Dynamics
Short-rate dynamics in the generalized Hull-White model.
class FittingParameter
Analytical term-structure fitting parameter $ varphi(t) $.

Public Member Functions

GeneralizedHullWhite (const Handle< YieldTermStructure > &yieldtermStructure, const std::vector< Date > &speedstructure, const std::vector< Date > &volstructure, const boost::function< Real(Real)> &f=boost::function< Real(Real)>(), const boost::function< Real(Real)> &fInverse=boost::function< Real(Real)>())

GeneralizedHullWhite (const Handle< YieldTermStructure > &yieldtermStructure, const std::vector< Date > &speedstructure, const std::vector< Date > &volstructure, const std::vector< Real > &speed, const std::vector< Real > &vol, const boost::function< Real(Real)> &f=boost::function< Real(Real)>(), const boost::function< Real(Real)> &fInverse=boost::function< Real(Real)>())

boost::shared_ptr< ShortRateDynamics > dynamics () const
returns the short-rate dynamics
boost::shared_ptr< Lattice > tree (const TimeGrid &grid) const

GeneralizedHullWhite (const Handle< YieldTermStructure > &yieldtermStructure, Real a=0.1, Real sigma=0.01)

boost::shared_ptr< ShortRateDynamics > HWdynamics () const

Real discountBondOption (Option::Type type, Real strike, Time maturity, Time bondMaturity) const

Static Public Member Functions

static Rate convexityBias (Real futurePrice, Time t, Time T, Real sigma, Real a)

Protected Member Functions

Real a () const

Real sigma () const

void generateArguments ()

Real A (Time t, Time T) const

Real B (Time t, Time T) const

Additional Inherited Members

Detailed Description

Generalized Hull-White model class.

This class implements the standard Black-Karasinski model defined by [ d f(r_t) = ( heta(t) - alpha f(r_t))dt + sigma dW_t, ] where $ alpha $ and $ sigma $ are piecewise linear functions.

Author

Generated automatically by Doxygen for QuantLib from the source code.

Referenced By

convexityBias(3), GeneralizedHullWhite(3) and HWdynamics(3) are aliases of QuantLib_GeneralizedHullWhite(3).

Fri Sep 23 2016 Version 1.8.1 QuantLib