- QuantLib
- HullWhite
Single-factor Hull-White (extended Vasicek) model class. More...
#include <ql/models/shortrate/onefactormodels/hullwhite.hpp>
Classes | |
class | Dynamics |
Short-rate dynamics in the Hull-White model. More... | |
class | FittingParameter |
Analytical term-structure fitting parameter ![]() | |
Public Member Functions | |
HullWhite (const Handle< YieldTermStructure > &termStructure, Real a=0.1, Real sigma=0.01) | |
boost::shared_ptr< Lattice > | tree (const TimeGrid &grid) const |
Return by default a trinomial recombining tree. | |
boost::shared_ptr < ShortRateDynamics > | dynamics () const |
returns the short-rate dynamics | |
Real | discountBondOption (Option::Type type, Real strike, Time maturity, Time bondMaturity) const |
Static Public Member Functions | |
static Rate | convexityBias (Real futurePrice, Time t, Time T, Real sigma, Real a) |
Protected Member Functions | |
void | generateArguments () |
Real | A (Time t, Time T) const |
Single-factor Hull-White (extended Vasicek) model class.
This class implements the standard single-factor Hull-White model defined by
where and
are constants.
Futures convexity bias (i.e., the difference between futures implied rate and forward rate) calculated as in G. Kirikos, D. Novak, "Convexity Conundrums", Risk Magazine, March 1997.