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

Vasicek Class Reference #include <vasicek.hpp> Inheritance diagram for Vasicek: [legend]List of all members. Detailed Description Vasicek model class. This class implements the Vasicek model defined by where , and 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: ql/ShortRateModels/OneFactorModels/vasicek.hpp ql/ShortRateModels/OneFactorModels/vasicek.cpp

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