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QuantLib_BlackKarasinski_Dynamics
Langue: en
Version: 378696 (fedora - 01/12/10)
Section: 3 (Bibliothèques de fonctions)
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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