QuantLib_HullWhite_Dynamics (3) Linux Manual Page
QuantLib::HullWhite::Dynamics – Short-rate dynamics in the Hull-White model.
Synopsis
#include <ql/models/shortrate/onefactormodels/hullwhite.hpp>Inherits QuantLib::OneFactorModel::ShortRateDynamics.
Public Member Functions
Dynamics (const Parameter &fitting, Real a, 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 Hull-White model.The short-rate is here [ r_t = meter used for term-structure fitting and $ x_t $ is the state variable following an Ornstein-Uhlenbeck process.