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QuantLib_BlackKarasinski
Langue: en
Version: 381598 (fedora - 01/12/10)
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
boost::shared_ptr< Lattice > tree (const TimeGrid &grid) const
Detailed Description
Standard Black-Karasinski model class.
This class implements the standard Black-Karasinski model defined by [ d
stants.
Examples:
BermudanSwaption.cpp.
Author
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