QuantLib_HullWhite man page

HullWhite — Single-factor Hull-White (extended Vasicek) model class.

Synopsis

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

Inherits Vasicek, and TermStructureConsistentModel.

Classes

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

Public Member Functions

HullWhite (const Handle< YieldTermStructure > &termStructure, Real a=0.1, Real sigma=0.01)

boost::shared_ptr< Lattice > tree (const TimeGrid &grid) const
Return by default a trinomial recombining tree.
boost::shared_ptr< ShortRateDynamics > dynamics () const
returns the short-rate dynamics
Real discountBondOption (Option::Type type, Real strike, Time maturity, Time bondMaturity) const

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

Static Public Member Functions

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

static std::vector< bool > FixedReversion ()

Protected Member Functions

void generateArguments ()

Real A (Time t, Time T) const

Additional Inherited Members

Detailed Description

Single-factor Hull-White (extended Vasicek) model class.

This class implements the standard single-factor Hull-White model defined by [ dr_t = ( heta(t) - alpha r_t)dt + sigma dW_t ] where $ alpha $ and $ sigma $ are constants.

Tests

calibration results are tested against cached values

Bug

When the term structure is relinked, the r0 parameter of the underlying Vasicek model is not updated.

Examples: BermudanSwaption.cpp, and CallableBonds.cpp.

Member Function Documentation

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

Futures convexity bias (i.e., the difference between futures implied rate and forward rate) calculated as in G. Kirikos, D. Novak, 'Convexity Conundrums', Risk Magazine, March 1997.

Note:

t and T should be expressed in yearfraction using deposit day counter, F_quoted is futures' market price.

Author

Generated automatically by Doxygen for QuantLib from the source code.

Referenced By

FixedReversion(3) and HullWhite(3) are aliases of QuantLib_HullWhite(3).

Fri Sep 23 2016 Version 1.8.1 QuantLib