#include <ql/ShortRateModels/OneFactorModels/blackkarasinski.hpp>
Inheritance diagram for BlackKarasinski:
[legend]List of all members.
Detailed Description
Standard Black-Karasinski model class.
This class implements the standard Black-Karasinski model defined by
where and are constants.
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Public Member Functions |
| BlackKarasinski (const RelinkableHandle< TermStructure > &termStructure, Real a=0.1, Real sigma=0.1) |
boost::shared_ptr< ShortRateDynamics > | dynamics () const |
| returns the short-rate dynamics
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boost::shared_ptr< Lattice > | tree (const TimeGrid &grid) const |
| Return by default a trinomial recombining tree.
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