#include <ql/ShortRateModels/OneFactorModels/hullwhite.hpp>
Inheritance diagram for HullWhite:
[legend]List of all members.
Detailed Description
Single-factor Hull-White (extended Vasicek) model class.
This class implements the standard single-factor Hull-White model defined by
where and 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.
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Public Member Functions |
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| HullWhite (const Handle< YieldTermStructure > &termStructure, Real a=0.1, Real sigma=0.01) |
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boost::shared_ptr< Lattice > | tree (const TimeGrid &grid) const |
| | Return by default a trinomial recombining tree.
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boost::shared_ptr< ShortRateDynamics > | dynamics () const |
| | returns the short-rate dynamics
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Real | discountBondOption (Option::Type type, Real strike, Time maturity, Time bondMaturity) const |
Protected Member Functions |
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void | generateArguments () |
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Real | A (Time t, Time T) const |
Classes |
| class | Dynamics |
| | Short-rate dynamics in the Hull-White model. More...
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| class | FittingParameter |
| | Analytical term-structure fitting parameter . More...
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