convexityBias (3) - Linux Manuals
convexityBias: Single-factor Hull-White (extended Vasicek) model class.
NAME
QuantLib::HullWhite - Single-factor Hull-White (extended Vasicek) model class.
SYNOPSIS
#include <ql/models/shortrate/onefactormodels/hullwhite.hpp>
Inherits QuantLib::Vasicek, and QuantLib::TermStructureConsistentModel.
Classes
class Dynamics
Short-rate dynamics in the Hull-White model.
class FittingParameter
Analytical term-structure fitting parameter $ ndle< YieldTermStructure > &termStructure, Real a=0.1, Real sigma=0.01)"
Public Member Functions
HullWhite (const Handle< YieldTermStructure > &termStructure, Real a=0.1, Real sigma=0.01)
boost::shared_ptr< Lattice > tree (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
Static Public Member Functions
static Rate convexityBias (Real futurePrice, Time t, Time T, Real sigma, Real a)
Protected Member Functions
void generateArguments ()
Real A (Time t, Time T) const
Detailed Description
Single-factor Hull-White (extended Vasicek) model class.
This class implements the standard single-factor Hull-White model defined by [ dr_t = ( heta(t) - lpha r_t)dt + igma dW_t ] where $ lpha $ and $ igma $ are constants.
Tests
- calibration results are tested against cached values
Bug
- When the term structure is relinked, the r0 parameter of the underlying Vasicek model is not updated.
Examples:
BermudanSwaption.cpp, and CallableBonds.cpp.
Member Function Documentation
static Rate convexityBias (Real futurePrice, Time t, Time T, Real sigma, Real a) [static]
Futures convexity bias (i.e., the difference between futures implied rate and forward rate) calculated as in G. Kirikos, D. Novak, 'Convexity Conundrums', Risk Magazine, March 1997.
Note:
- t and T should be expressed in yearfraction using deposit day counter, F_quoted is futures' market price.
Author
Generated automatically by Doxygen for QuantLib from the source code.