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QuantLib_BlackKarasinski_Dynamics

NAME

QuantLib::BlackKarasinski::Dynamics -

Short-rate dynamics in the Black-Karasinski model.

SYNOPSIS

#include <ql/models/shortrate/onefactormodels/blackkarasinski.hpp>

Inherits BlackKarasinski::ShortRateDynamics.

Public Member Functions

Dynamics (const Parameter &fitting, Real alpha, Real sigma)

Real variable (Time t, Rate r) const

Real shortRate (Time t, Real x) const

Detailed Description

Short-rate dynamics in the Black-Karasinski model.

The short-rate is here [ r_t = e^{meter (which can not be determined analytically) used for term-structure fitting and $ x_t $ is the state variable following an Ornstein-Uhlenbeck process.

Author

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