QuantLib_GeneralizedHullWhite_Dynamics man page

GeneralizedHullWhite::Dynamics — Short-rate dynamics in the generalized Hull-White model.

Synopsis

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

Inherits ShortRateDynamics.

Public Member Functions

Dynamics (const Parameter &fitting, const boost::function< Real(Time)> &alpha, const boost::function< Real(Time)> &sigma, const boost::function< Real(Real)> &f, const boost::function< Real(Real)> &fInverse)

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

Real variable (Time t, Rate r=0.01) const

Real shortRate (Time t, Real x) const

Detailed Description

Short-rate dynamics in the generalized Hull-White model.

The short-rate is here

f(r_t) = x_t + g(t)

where g is the deterministic time-dependent parameter (which can't be determined analytically) used for initial term-structure fitting and x_t is the state variable following an Ornstein-Uhlenbeck process.

In this version, the function f may also be defined as a piece-wise linear function and can be calibrated to the away-from-the-money instruments.

Author

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Info

Fri Sep 23 2016 Version 1.8.1 QuantLib