GeneralizedHullWhite::Dynamics Class Reference

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

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

Inherits ShortRateDynamics.

Public Member Functions

 Dynamics (const Parameter &fitting, const boost::function< Real(Time)> &alpha, const boost::function< Real(Time)> &sigma)
 
Real variable (Time t, Rate r) const
 
Real shortRate (Time t, Real x) const
 

Detailed Description

Short-rate dynamics in the generalized Hull-White model.

The short-rate is here

   f(r_t) = x_t + g(t)

   where g is the deterministic time-dependent
   parameter (which can not be determined analytically)
   used for term-structure fitting and  x_t is the state
   variable following an Ornstein-Uhlenbeck process.