GeneralizedHullWhite::Dynamics Class Reference

Short-rate dynamics in the generalized Hull-White model. More...

#include <generalizedhullwhite.hpp>

Inheritance diagram for GeneralizedHullWhite::Dynamics:

Collaboration diagram for GeneralizedHullWhite::Dynamics:

Classes
struct	identity

Public Member Functions
	Dynamics (Parameter fitting, const ext::function< Real(Time)> &alpha, const ext::function< Real(Time)> &sigma, ext::function< Real(Real)> f, ext::function< Real(Real)> fInverse)
	Dynamics (Parameter fitting, Real a, Real sigma)
Real	variable (Time t, Rate r) const override
Real	shortRate (Time t, Real x) const override

Private Attributes
Parameter	fitting_
ext::function< Real(Real)>	_f_
ext::function< Real(Real)>	_fInverse_

Detailed Description

Short-rate dynamics in the generalized Hull-White model.

The short-rate is here

f(r_t) = x_t + g(t)

where g is the deterministic time-dependent parameter (which can't be determined analytically) used for initial term-structure fitting and x_t is the state variable following an Ornstein-Uhlenbeck process.

In this version, the function f may also be defined as a piece-wise linear function and can be calibrated to the away-from-the-money instruments.

Definition at line 232 of file generalizedhullwhite.hpp.

Constructor & Destructor Documentation

Dynamics() [1/2]

Dynamics	(	Parameter	fitting,
		const ext::function< Real(Time)> &	alpha,
		const ext::function< Real(Time)> &	sigma,
		ext::function< Real(Real)>	f,
		ext::function< Real(Real)>	fInverse
	)

Definition at line 235 of file generalizedhullwhite.hpp.

Dynamics() [2/2]

Dynamics	(	Parameter	fitting,
		Real	a,
		Real	sigma
	)

Definition at line 245 of file generalizedhullwhite.hpp.

Member Function Documentation

variable()

Real variable ( Time  t, Rate  r  ) const

override

Definition at line 250 of file generalizedhullwhite.hpp.

shortRate()

Real shortRate ( Time  t, Real  x  ) const

override

Definition at line 252 of file generalizedhullwhite.hpp.

Member Data Documentation

fitting_

Parameter fitting_

private

Definition at line 255 of file generalizedhullwhite.hpp.

_f_

ext::function<Real(Real)> _f_

private

Definition at line 256 of file generalizedhullwhite.hpp.

_fInverse_

ext::function<Real(Real)> _fInverse_

private

Definition at line 257 of file generalizedhullwhite.hpp.