Vasicek Class Reference

#include <vasicek.hpp>

Inheritance diagram for Vasicek:

Inheritance graph
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List of all members.

Detailed Description

Vasicek model class.

This class implements the Vasicek model defined by

\[ dr_t = a(b - r_t)dt + \sigma dW_t , \]

where $ a $, $ b $ and $ \sigma $ are constants.


Public Member Functions

 Vasicek (Rate r0=0.05, double a=0.1, double b=0.05, double sigma=0.01)
virtual double discountBondOption (Option::Type type, double strike, Time maturity, Time bondMaturity) const
virtual Handle< ShortRateDynamics > dynamics () const
 returns the short-rate dynamics


Protected Member Functions

virtual double A (Time t, Time T) const
virtual double B (Time t, Time T) const
double a () const
double b () const
double sigma () const


The documentation for this class was generated from the following files:

QuantLib.org
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