QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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Short-rate dynamics in the Hull-White model. More...
#include <hullwhite.hpp>
Public Member Functions | |
Dynamics (Parameter fitting, Real a, 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_ |
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.
Definition at line 110 of file hullwhite.hpp.
Compute state variable from short rate.
Implements OneFactorModel::ShortRateDynamics.
Definition at line 117 of file hullwhite.hpp.
Compute short rate from state variable.
Implements OneFactorModel::ShortRateDynamics.
Definition at line 118 of file hullwhite.hpp.
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private |
Definition at line 121 of file hullwhite.hpp.