QuantLib_HullWhite man page
HullWhite — Single-factor Hull-White (extended Vasicek) model class.
Inherits Vasicek, and TermStructureConsistentModel.
Short-rate dynamics in the Hull-White model.
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
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.
calibration results are tested against cached values
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.
t and T should be expressed in yearfraction using deposit day counter, F_quoted is futures' market price.
Generated automatically by Doxygen for QuantLib from the source code.
The man pages FixedReversion(3) and HullWhite(3) are aliases of QuantLib_HullWhite(3).