QuantLib_Vasicek man page

Vasicek — Vasicek model class  


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

Inherits OneFactorAffineModel.

Inherited by HullWhite.


class Dynamics
Short-rate dynamics in the Vasicek model.

Public Member Functions

Vasicek (Rate r0=0.05, Real a=0.1, Real b=0.05, Real sigma=0.01, Real lambda=0.0)
virtual Real discountBondOption (Option::Type type, Real strike, Time maturity, Time bondMaturity) const
virtual boost::shared_ptr< ShortRateDynamics > dynamics () const
returns the short-rate dynamics
Real a () const
Real b () const
Real lambda () const
Real sigma () const

Protected Member Functions

virtual Real A (Time t, Time T) const
virtual Real B (Time t, Time T) const

Protected Attributes

Real r0_
Parameter & a_
Parameter & b_
Parameter & sigma_
Parameter & lambda_

Additional Inherited Members

Detailed Description

Vasicek model class

This class implements the Vasicek model defined by [ dr_t = a(b - r_t)dt + sigma dW_t , ] where $ a $, $ b $ and $ sigma $ are constants; a risk premium $ lambda $ can also be specified.


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Referenced By

The man pages r0_(3) and Vasicek(3) are aliases of QuantLib_Vasicek(3).

Mon Apr 30 2018 Version 1.12.1 QuantLib