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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