HullWhite::Dynamics Class Reference

#include <ql/ShortRateModels/OneFactorModels/hullwhite.hpp>

List of all members.


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.


Public Member Functions

 Dynamics (const Parameter &fitting, Real a, Real sigma)
Real variable (Time t, Rate r) const
Real shortRate (Time t, Real x) const


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