BlackKarasinski::Dynamics Class Reference

#include <blackkarasinski.hpp>

List of all members.


Detailed Description

Short-rate dynamics in the Black-Karasinski model.

The short-rate is here

\[ r_t = e^{\varphi(t) + x_t} \]

where $ \varphi(t) $ is the deterministic time-dependent parameter (which can not be determined analytically) used for term-structure fitting and $ x_t $ is the state variable following an Ornstein-Uhlenbeck process.


Public Member Functions

 Dynamics (const Parameter &fitting, double alpha, double sigma)
double variable (Time t, Rate r) const
double shortRate (Time t, double x) const


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

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