HullWhite Class Reference
[Short-rate modelling framework]

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

Inheritance diagram for HullWhite:

Inheritance graph
[legend]
List of all members.

Detailed Description

Single-factor Hull-White (extended Vasicek) model class.

This class implements the standard single-factor Hull-White model defined by

\[ dr_t = (\theta(t) - \alpha r_t)dt + \sigma dW_t \]

where $ \alpha $ and $ \sigma $ are constants.

Bug:
When the term structure is relinked, the r0 parameter of the underlying Vasicek model is not updated.


Public Member Functions

 HullWhite (const RelinkableHandle< TermStructure > &termStructure, Real a=0.1, Real sigma=0.01)
boost::shared_ptr< Latticetree (const TimeGrid &grid) const
 Return by default a trinomial recombining tree.

boost::shared_ptr< ShortRateDynamics > dynamics () const
 returns the short-rate dynamics

Real discountBondOption (Option::Type type, Real strike, Time maturity, Time bondMaturity) const

Protected Member Functions

void generateArguments ()
Real A (Time t, Time T) const


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