GeneralizedHullWhite Class Reference

Generalized Hull-White model class. More...

#include <ql/experimental/shortrate/generalizedhullwhite.hpp>

Inheritance diagram for GeneralizedHullWhite:

List of all members.

Classes

class  Dynamics
 Short-rate dynamics in the generalized Hull-White model. More...

Public Member Functions

 GeneralizedHullWhite (const Handle< YieldTermStructure > &yieldtermStructure, const std::vector< Date > &speedstructure, const std::vector< Date > &volstructure)
 GeneralizedHullWhite (const Handle< YieldTermStructure > &yieldtermStructure, const std::vector< Date > &speedstructure, const std::vector< Date > &volstructure, const std::vector< Real > &speed, const std::vector< Real > &vol)
boost::shared_ptr
< ShortRateDynamics
dynamics () const
 returns the short-rate dynamics
boost::shared_ptr< Latticetree (const TimeGrid &grid) const
 Return by default a trinomial recombining tree.

Detailed Description

Generalized Hull-White model class.

This class implements the standard Black-Karasinski model defined by

\[ d f(r_t) = (\theta(t) - \alpha f(r_t))dt + \sigma dW_t, \]

where $ alpha $ and $ sigma $ are piecewise linear functions.