Vasicek (3) - Linux Manuals
Vasicek: Vasicek model class
NAME
QuantLib::Vasicek - Vasicek model class
SYNOPSIS
#include <ql/models/shortrate/onefactormodels/vasicek.hpp>
Inherits QuantLib::OneFactorAffineModel.
Inherited by HullWhite.
Classes
class Dynamics
Short-rate dynamics in the Vasicek model.
Public Member Functions
Vasicek (Rate r0=0.05, Real a=0.1, Real b=0.05, Real sigma=0.01, Real lambda=0.0)
virtual Real discountBondOption (Option::Type type, Real strike, Time maturity, Time bondMaturity) const
virtual boost::shared_ptr< ShortRateDynamics > dynamics () const
returns the short-rate dynamics
Protected Member Functions
virtual Real A (Time t, Time T) const
virtual Real B (Time t, Time T) const
Real a () const
Real b () const
Real lambda () const
Real sigma () const
Protected Attributes
Real r0_
Parameter & a_
Parameter & b_
Parameter & sigma_
Parameter & lambda_
Detailed Description
Vasicek model class
This class implements the Vasicek model defined by [ dr_t = a(b - r_t)dt + igma dW_t , ] where $ a $, $ b $ and $ igma $ are constants; a risk premium $
$ can also be specified.
Author
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