- QuantLib
- GeneralizedHullWhite
Generalized Hull-White model class. More...
#include <ql/experimental/shortrate/generalizedhullwhite.hpp>
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< Lattice > | tree (const TimeGrid &grid) const |
Return by default a trinomial recombining tree. |
Generalized Hull-White model class.
This class implements the standard Black-Karasinski model defined by
where and
are piecewise linear functions.