HullWhite Class Reference

#include <hullwhite.hpp>

Inheritance diagram for HullWhite:

Inheritance graph
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List of all members.

Detailed Description

Single-factor Hull-White (extended Vasicek) model class.

This class implements the standard single-factor Hull-White model defined by

\[ dr_t = (\theta(t) - \alpha r_t)dt + \sigma dW_t \]

where $ \alpha $ and $ \sigma $ are constants.


Public Member Functions

 HullWhite (const RelinkableHandle< TermStructure > &termStructure, double a=0.1, double sigma=0.01)
Handle< Lattices::Latticetree (const TimeGrid &grid) const
 Return by default a trinomial recombining tree.

Handle< ShortRateDynamics > dynamics () const
 returns the short-rate dynamics

double discountBondOption (Option::Type type, double strike, Time maturity, Time bondMaturity) const

Protected Member Functions

void generateArguments ()
double A (Time t, Time T) const


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

QuantLib.org
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