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 \( \varphi(t) \). More... | |
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 |
Real | discountBondOption (Option::Type type, Real strike, Time maturity, Time bondStart, Time bondMaturity) const |
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Vasicek (Rate r0=0.05, Real a=0.1, Real b=0.05, Real sigma=0.01, Real lambda=0.0) | |
Real | a () const |
Real | b () const |
Real | lambda () const |
Real | sigma () const |
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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. | |
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OneFactorModel (Size nArguments) | |
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ShortRateModel (Size nArguments) | |
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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 ¶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) |
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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 () |
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Observable (const Observable &) | |
Observable & | operator= (const Observable &) |
void | notifyObservers () |
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TermStructureConsistentModel (const Handle< YieldTermStructure > &termStructure) | |
const Handle < YieldTermStructure > & | termStructure () const |
Static Public Member Functions | |
static Rate | convexityBias (Real futurePrice, Time t, Time T, Real sigma, Real a) |
static std::vector< bool > | FixedReversion () |
Protected Member Functions | |
void | generateArguments () |
Real | A (Time t, Time T) const |
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virtual Real | B (Time t, Time T) const |
Additional Inherited Members | |
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Real | r0_ |
Parameter & | a_ |
Parameter & | b_ |
Parameter & | sigma_ |
Parameter & | lambda_ |
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std::vector< Parameter > | arguments_ |
boost::shared_ptr< Constraint > | constraint_ |
EndCriteria::Type | shortRateEndCriteria_ |
Single-factor Hull-White (extended Vasicek) model class.
This class implements the standard single-factor Hull-White model defined by
\[ dr_t = (\theta(t) - \alpha r_t)dt + \sigma dW_t \]
where \( \alpha \) and \( \sigma \) 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.