QuantLib_HullWhite_Dynamics man page
HullWhite::Dynamics — Short-rate dynamics in the Hull-White model.
Public Member Functions
Dynamics (const Parameter &fitting, Real a, 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.
Short-rate dynamics in the Hull-White model.
The short-rate is here [ r_t = varphi(t) + x_t ] where $ varphi(t) $ is the deterministic time-dependent parameter used for term-structure fitting and $ x_t $ is the state variable following an Ornstein-Uhlenbeck process.
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