- QuantLib
- BlackKarasinski
- Dynamics
Short-rate dynamics in the Black-Karasinski model. More...
#include <ql/models/shortrate/onefactormodels/blackkarasinski.hpp>

Public Member Functions | |
| Dynamics (const Parameter &fitting, Real alpha, 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. | |
Short-rate dynamics in the Black-Karasinski model.
The short-rate is here
where
is the deterministic time-dependent parameter (which can not be determined analytically) used for term-structure fitting and
is the state variable following an Ornstein-Uhlenbeck process.