Short-rate dynamics in the Black-Karasinski model. More...
#include <blackkarasinski.hpp>
Inheritance diagram for BlackKarasinski::Dynamics:
Collaboration diagram for BlackKarasinski::Dynamics:
Public Member Functions | |
| Dynamics (Parameter fitting, Real alpha, Real sigma) | |
| Real | variable (Time t, Rate r) const override |
| Compute state variable from short rate. More... | |
| Real | shortRate (Time t, Real x) const override |
| Compute short rate from state variable. More... | |
| Public Member Functions inherited from OneFactorModel::ShortRateDynamics | |
| ShortRateDynamics (ext::shared_ptr< StochasticProcess1D > process) | |
| virtual | ~ShortRateDynamics ()=default |
| virtual Real | variable (Time t, Rate r) const =0 |
| Compute state variable from short rate. More... | |
| virtual Rate | shortRate (Time t, Real variable) const =0 |
| Compute short rate from state variable. More... | |
| const ext::shared_ptr< StochasticProcess1D > & | process () |
| Returns the risk-neutral dynamics of the state variable. More... | |
Private Attributes | |
| Parameter | fitting_ |
Detailed Description
Short-rate dynamics in the Black-Karasinski model.
The short-rate is here
\[ r_t = e^{\varphi(t) + x_t} \]
where \( \varphi(t) \) is the deterministic time-dependent parameter (which can not be determined analytically) used for term-structure fitting and \( x_t \) is the state variable following an Ornstein-Uhlenbeck process.
Definition at line 74 of file blackkarasinski.hpp.
Constructor & Destructor Documentation
◆ Dynamics()
Definition at line 77 of file blackkarasinski.hpp.
Member Function Documentation
◆ variable()
Compute state variable from short rate.
Implements OneFactorModel::ShortRateDynamics.
Definition at line 82 of file blackkarasinski.hpp.
◆ shortRate()
Compute short rate from state variable.
Implements OneFactorModel::ShortRateDynamics.
Definition at line 84 of file blackkarasinski.hpp.
Member Data Documentation
◆ fitting_
|
private |
Definition at line 87 of file blackkarasinski.hpp.