QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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Public Member Functions | Private Attributes | List of all members
HullWhite::Dynamics Class Reference

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

#include <hullwhite.hpp>

+ Inheritance diagram for HullWhite::Dynamics:
+ Collaboration diagram for HullWhite::Dynamics:

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_
 

Detailed Description

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.

Constructor & Destructor Documentation

◆ Dynamics()

Dynamics ( Parameter  fitting,
Real  a,
Real  sigma 
)

Definition at line 112 of file hullwhite.hpp.

Member Function Documentation

◆ variable()

Real variable ( Time  t,
Rate  r 
) const
overridevirtual

Compute state variable from short rate.

Implements OneFactorModel::ShortRateDynamics.

Definition at line 117 of file hullwhite.hpp.

◆ shortRate()

Real shortRate ( Time  t,
Real  variable 
) const
overridevirtual

Compute short rate from state variable.

Implements OneFactorModel::ShortRateDynamics.

Definition at line 118 of file hullwhite.hpp.

Member Data Documentation

◆ fitting_

Parameter fitting_
private

Definition at line 121 of file hullwhite.hpp.