Vasicek model class More...
#include <ql/models/shortrate/onefactormodels/vasicek.hpp>
Classes | |
class | Dynamics |
Short-rate dynamics in the Vasicek model. More... | |
Public Member Functions | |
Vasicek (Rate r0=0.05, Real a=0.1, Real b=0.05, Real sigma=0.01, Real lambda=0.0) | |
virtual Real | discountBondOption (Option::Type type, Real strike, Time maturity, Time bondMaturity) const |
virtual boost::shared_ptr < ShortRateDynamics > | dynamics () const |
returns the short-rate dynamics | |
![]() | |
OneFactorAffineModel (Size nArguments) | |
virtual Real | discountBond (Time now, Time maturity, Array factors) const |
Real | discountBond (Time now, Time maturity, Rate rate) const |
DiscountFactor | discount (Time t) const |
Implied discount curve. | |
![]() | |
OneFactorModel (Size nArguments) | |
boost::shared_ptr< Lattice > | tree (const TimeGrid &grid) const |
Return by default a trinomial recombining tree. | |
![]() | |
ShortRateModel (Size nArguments) | |
![]() | |
CalibratedModel (Size nArguments) | |
void | update () |
void | calibrate (const std::vector< boost::shared_ptr< CalibrationHelper > > &, OptimizationMethod &method, const EndCriteria &endCriteria, const Constraint &constraint=Constraint(), const std::vector< Real > &weights=std::vector< Real >()) |
Calibrate to a set of market instruments (caps/swaptions) | |
Real | value (const Array ¶ms, const std::vector< boost::shared_ptr< CalibrationHelper > > &) |
const boost::shared_ptr < Constraint > & | constraint () const |
EndCriteria::Type | endCriteria () |
returns end criteria result | |
Disposable< Array > | params () const |
Returns array of arguments on which calibration is done. | |
virtual void | setParams (const Array ¶ms) |
![]() | |
Observer (const Observer &) | |
Observer & | operator= (const Observer &) |
std::pair< std::set < boost::shared_ptr < Observable > >::iterator, bool > | registerWith (const boost::shared_ptr< Observable > &) |
Size | unregisterWith (const boost::shared_ptr< Observable > &) |
void | unregisterWithAll () |
![]() | |
Observable (const Observable &) | |
Observable & | operator= (const Observable &) |
void | notifyObservers () |
Protected Member Functions | |
virtual Real | A (Time t, Time T) const |
virtual Real | B (Time t, Time T) const |
Real | a () const |
Real | b () const |
Real | lambda () const |
Real | sigma () const |
Protected Attributes | |
Real | r0_ |
Parameter & | a_ |
Parameter & | b_ |
Parameter & | sigma_ |
Parameter & | lambda_ |
Vasicek model class
This class implements the Vasicek model defined by
where ,
and
are constants; a risk premium
can also be specified.