QuantLib_BlackKarasinski (3) Linux Manual Page

QuantLib::BlackKarasinski – Standard Black-Karasinski model class.

Synopsis

#include <ql/models/shortrate/onefactormodels/blackkarasinski.hpp>

Inherits QuantLib::OneFactorModel, and QuantLib::TermStructureConsistentModel.

Classes

class Dynamics
Short-rate dynamics in the Black-Karasinski model.

Public Member Functions

BlackKarasinski (const Handle< YieldTermStructure > &termStructure, Real a=0.1, Real sigma=0.1)

boost::shared_ptr< ShortRateDynamics > dynamics () const
returns the short-rate dynamics
boost::shared_ptr< Lattice > tree (const TimeGrid &grid) const
Return by default a trinomial recombining tree.

Detailed Description

Standard Black-Karasinski model class.

This class implements the standard Black-Karasinski model defined by [ d

---

stants.

Examples:

BermudanSwaption.cpp.

Author

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