#include <ql/ShortRateModels/OneFactorModels/vasicek.hpp>
Inheritance diagram for Vasicek:
[legend]List of all members.
Detailed Description
Vasicek model class
This class implements the Vasicek model defined by
where , and are constants.
|
Public Member Functions |
| Vasicek (Rate r0=0.05, Real a=0.1, Real b=0.05, Real sigma=0.01) |
virtual Real | discountBondOption (Option::Type type, Real strike, Time maturity, Time bondMaturity) const |
virtual boost::shared_ptr<
ShortRateDynamics > | dynamics () const |
| returns the short-rate dynamics
|
Protected Member Functions |
virtual Real | A (Time t, Time T) const |
virtual Real | B (Time t, Time T) const |
Real | a () const |
Real | b () const |
Real | sigma () const |
|