QuantLib_HullWhite (3) - Linux Man Pages
QuantLib_HullWhite: Single-factor Hull-White (extended Vasicek) model class.
QuantLib::HullWhite - Single-factor Hull-White (extended Vasicek) model class.
Inherits QuantLib::Vasicek, and QuantLib::TermStructureConsistentModel.
Short-rate dynamics in the Hull-White model.
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
Protected Member Functions
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.
- calibration results are tested against cached values
- When the term structure is relinked, the r0 parameter of the underlying Vasicek model is not updated.
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.
- t and T should be expressed in yearfraction using deposit day counter, F_quoted is futures' market price.
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