QuantLib
A free/open-source library for quantitative finance
Reference manual - version 1.5
Classes | Public Member Functions | List of all members
BlackKarasinski Class Reference

Standard Black-Karasinski model class. More...

#include <ql/models/shortrate/onefactormodels/blackkarasinski.hpp>

+ Inheritance diagram for BlackKarasinski:

Classes

class  Dynamics
 Short-rate dynamics in the Black-Karasinski model. More...
 

Public Member Functions

 BlackKarasinski (const Handle< YieldTermStructure > &termStructure, Real a=0.1, Real sigma=0.1)
 
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.
 
- Public Member Functions inherited from OneFactorModel
 OneFactorModel (Size nArguments)
 
- Public Member Functions inherited from ShortRateModel
 ShortRateModel (Size nArguments)
 
- Public Member Functions inherited from CalibratedModel
 CalibratedModel (Size nArguments)
 
void update ()
 
virtual 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 >(), const std::vector< bool > &fixParameters=std::vector< bool >())
 Calibrate to a set of market instruments (caps/swaptions) More...
 
Real value (const Array &params, const std::vector< boost::shared_ptr< CalibrationHelper > > &)
 
const boost::shared_ptr
< Constraint > & 
constraint () const
 
EndCriteria::Type endCriteria ()
 returns end criteria result
 
Disposable< Arrayparams () const
 Returns array of arguments on which calibration is done.
 
virtual void setParams (const Array &params)
 
- Public Member Functions inherited from Observer
 Observer (const Observer &)
 
Observeroperator= (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 ()
 
- Public Member Functions inherited from Observable
 Observable (const Observable &)
 
Observableoperator= (const Observable &)
 
void notifyObservers ()
 
- Public Member Functions inherited from TermStructureConsistentModel
 TermStructureConsistentModel (const Handle< YieldTermStructure > &termStructure)
 
const Handle
< YieldTermStructure > & 
termStructure () const
 

Additional Inherited Members

- Protected Member Functions inherited from CalibratedModel
virtual void generateArguments ()
 
- Protected Attributes inherited from CalibratedModel
std::vector< Parameterarguments_
 
boost::shared_ptr< Constraintconstraint_
 
EndCriteria::Type shortRateEndCriteria_
 

Detailed Description

Standard Black-Karasinski model class.

This class implements the standard Black-Karasinski model defined by

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

where \( alpha \) and \( sigma \) are constants.

Examples:
BermudanSwaption.cpp.