QuantLib_HullWhite_Dynamics man page

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


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

Inherits OneFactorModel::ShortRateDynamics.

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.

Detailed Description

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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QuantLib Version 1.8.1 Fri Sep 23 2016