Rechercher une page de manuel
QuantLib_BlackKarasinski
Langue: en
Version: 167921 (fedora - 05/07/09)
Section: 3 (Bibliothèques de fonctions)
NAME
QuantLib::BlackKarasinski - Standard Black-Karasinski model class.SYNOPSIS
#include <ql/models/shortrate/onefactormodels/blackkarasinski.hpp>
Inherits QuantLib::OneFactorModel, and QuantLib::TermStructureConsistentModel.
Classes
class Dynamics
Short-rate dynamics in the Black-Karasinski model.
Public Member Functions
BlackKarasinski (const Handle< YieldTermStructure > &termStructure, Real a=0.1, Real sigma=0.1)
boost::shared_ptr< ShortRateDynamics > dynamics () const
returns the short-rate dynamics
boost::shared_ptr< Lattice > tree (const TimeGrid &grid) const
Return by default a trinomial recombining tree.
Detailed Description
Standard Black-Karasinski model class.
This class implements the standard Black-Karasinski model defined by \ where $ alpha $ and $ sigma $ are constants.
Examples:
BermudanSwaption.cpp.
Author
Generated automatically by Doxygen for QuantLib from the source code.
Contenus ©2006-2024 Benjamin Poulain
Design ©2006-2024 Maxime Vantorre