BlackKarasinski Class Reference

Standard Black-Karasinski model class. More...

#include <blackkarasinski.hpp>

Inheritance diagram for BlackKarasinski:

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Classes
class	Dynamics
	Short-rate dynamics in the Black-Karasinski model. More...

Public Member Functions
	BlackKarasinski (const Handle< YieldTermStructure > &termStructure, Real a=0.1, Real sigma=0.1)
ext::shared_ptr< ShortRateDynamics >	dynamics () const override
	returns the short-rate dynamics More...
ext::shared_ptr< Lattice >	tree (const TimeGrid &grid) const override
	Return by default a trinomial recombining tree. More...
Public Member Functions inherited from OneFactorModel
	OneFactorModel (Size nArguments)
	~OneFactorModel () override=default
virtual ext::shared_ptr< ShortRateDynamics >	dynamics () const =0
	returns the short-rate dynamics More...
ext::shared_ptr< Lattice >	tree (const TimeGrid &grid) const override
	Return by default a trinomial recombining tree. More...
Public Member Functions inherited from ShortRateModel
	ShortRateModel (Size nArguments)
virtual ext::shared_ptr< Lattice >	tree (const TimeGrid &) const =0
Public Member Functions inherited from CalibratedModel
	CalibratedModel (Size nArguments)
void	update () override
virtual void	calibrate (const std::vector< ext::shared_ptr< CalibrationHelper > > &, OptimizationMethod &method, const EndCriteria &endCriteria, const Constraint &constraint=Constraint(), const std::vector< Real > &weights=std::vector< Real >(), const std::vector< bool > &fixParameters=std::vector< bool >())
	Calibrate to a set of market instruments (usually caps/swaptions) More...
Real	value (const Array &params, const std::vector< ext::shared_ptr< CalibrationHelper > > &)
const ext::shared_ptr< Constraint > &	constraint () const
EndCriteria::Type	endCriteria () const
	Returns end criteria result. More...
const Array &	problemValues () const
	Returns the problem values. More...
Array	params () const
	Returns array of arguments on which calibration is done. More...
virtual void	setParams (const Array &params)
Integer	functionEvaluation () const
Public Member Functions inherited from Observer
	Observer ()=default
	Observer (const Observer &)
Observer &	operator= (const Observer &)
virtual	~Observer ()
std::pair< iterator, bool >	registerWith (const ext::shared_ptr< Observable > &)
void	registerWithObservables (const ext::shared_ptr< Observer > &)
Size	unregisterWith (const ext::shared_ptr< Observable > &)
void	unregisterWithAll ()
virtual void	update ()=0
virtual void	deepUpdate ()
Public Member Functions inherited from Observable
	Observable ()
	Observable (const Observable &)
Observable &	operator= (const Observable &)
	Observable (Observable &&)=delete
Observable &	operator= (Observable &&)=delete
virtual	~Observable ()=default
void	notifyObservers ()
Public Member Functions inherited from TermStructureConsistentModel
	TermStructureConsistentModel (Handle< YieldTermStructure > termStructure)
const Handle< YieldTermStructure > &	termStructure () const

Private Member Functions
Real	a () const
Real	sigma () const

Private Attributes
Parameter &	a_
Parameter &	sigma_
Parameter	phi_

Additional Inherited Members
Public Types inherited from Observer
typedef set_type::iterator	iterator
Protected Member Functions inherited from CalibratedModel
virtual void	generateArguments ()
Protected Attributes inherited from CalibratedModel
std::vector< Parameter >	arguments_
ext::shared_ptr< Constraint >	constraint_
EndCriteria::Type	shortRateEndCriteria_ = EndCriteria::None
Array	problemValues_
Integer	functionEvaluation_

Detailed Description

Standard Black-Karasinski model class.

This class implements the standard Black-Karasinski model defined by

\[ d\ln r_t = (\theta(t) - \alpha \ln r_t)dt + \sigma dW_t, \]

where \( alpha \) and \( sigma \) are constants.

Definition at line 42 of file blackkarasinski.hpp.

Constructor & Destructor Documentation

BlackKarasinski()

BlackKarasinski	(	const Handle< YieldTermStructure > &	termStructure,
		Real	a = 0.1,
		Real	sigma = 0.1
	)

Definition at line 57 of file blackkarasinski.cpp.

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Member Function Documentation

dynamics()

ext::shared_ptr< OneFactorModel::ShortRateDynamics > dynamics ( ) const

overridevirtual

returns the short-rate dynamics

Implements OneFactorModel.

Definition at line 100 of file blackkarasinski.cpp.

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tree()

ext::shared_ptr< Lattice > tree ( const TimeGrid &  grid ) const

overridevirtual

Return by default a trinomial recombining tree.

Reimplemented from OneFactorModel.

Definition at line 70 of file blackkarasinski.cpp.

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a()

Real a ( ) const

private

Definition at line 56 of file blackkarasinski.hpp.

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sigma()

Real sigma ( ) const

private

Definition at line 57 of file blackkarasinski.hpp.

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Member Data Documentation

a_

Parameter& a_

private

Definition at line 59 of file blackkarasinski.hpp.

sigma_

Parameter& sigma_

private

Definition at line 60 of file blackkarasinski.hpp.

phi_

Parameter phi_

private

Definition at line 61 of file blackkarasinski.hpp.