QuantLib_BlackKarasinski_Dynamics (3) - Linux Manuals

QuantLib_BlackKarasinski_Dynamics: Short-rate dynamics in the Black-Karasinski model.

NAME

QuantLib::BlackKarasinski::Dynamics - Short-rate dynamics in the Black-Karasinski model.

SYNOPSIS


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

Inherits QuantLib::OneFactorModel::ShortRateDynamics.

Public Member Functions


Dynamics (const Parameter &fitting, Real alpha, Real sigma)

Real variable (Time t, Rate r) const
Compute state variable from short rate.
Real shortRate (Time t, Real x) const
Compute short rate from state variable.

Detailed Description

Short-rate dynamics in the Black-Karasinski model.

The short-rate is here [ r_t = e^{meter (which can not be determined analytically) used for term-structure fitting and $ x_t $ is the state variable following an Ornstein-Uhlenbeck process.

Author

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