QuantLib 0.3.3 http://quantlib.org User manual Introduction to QuantLib Introduction Project overview Where to get QuantLib Installation Usage Supported platforms Version history Todo list Additional resources The QuantLib group Copyright and license QuantLib components Core classes Date and time calculations Lattice methods The finite differences framework The Monte Carlo framework Short-rate models Currencies and FX rates Instruments and pricers Math tools Design patterns Term structures Utilities Examples Reference manual Modules Namespace List Class Hierarchy Compound List File List Namespace Members Compound Members File Members Unstable Features Deprecated List

HullWhite::Dynamics Class Reference #include <hullwhite.hpp> List of all members. Detailed Description Short-rate dynamics in the Hull-White model. The short-rate is here where is the deterministic time-dependent parameter used for term-structure fitting and is the state variable following an Ornstein-Uhlenbeck process. Public Member Functions   Dynamics (const Parameter &fitting, double a, 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: ql/ShortRateModels/OneFactorModels/hullwhite.hpp

---

QuantLib.org

Hosted by

Documentation generated by