Single-factor Hull-White (extended Vasicek) model class. More...
#include <ql/models/shortrate/onefactormodels/hullwhite.hpp>
Inheritance diagram for HullWhite: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 |
Public Member Functions inherited from Vasicek | |
| 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 |
Public Member Functions inherited from OneFactorAffineModel | |
| 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. | |
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 (usually 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 () const |
| Returns end criteria result. | |
| const Array & | problemValues () const |
| Returns the problem values. | |
| Disposable< Array > | params () const |
| Returns array of arguments on which calibration is done. | |
| virtual void | setParams (const Array ¶ms) |
Public Member Functions inherited from Observer | |
| Observer (const Observer &) | |
| Observer & | operator= (const Observer &) |
| std::pair< iterator, bool > | registerWith (const boost::shared_ptr< Observable > &) |
| void | registerWithObservables (const boost::shared_ptr< Observer > &) |
| Size | unregisterWith (const boost::shared_ptr< Observable > &) |
| void | unregisterWithAll () |
Public Member Functions inherited from Observable | |
| Observable (const Observable &) | |
| Observable & | operator= (const Observable &) |
| void | notifyObservers () |
Public Member Functions inherited from TermStructureConsistentModel | |
| 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 |
Protected Member Functions inherited from Vasicek | |
| virtual Real | B (Time t, Time T) const |
Additional Inherited Members | |
Public Types inherited from Observer | |
| typedef std::set< boost::shared_ptr< Observable > > | set_type |
| typedef set_type::iterator | iterator |
Protected Attributes inherited from Vasicek | |
| Real | r0_ |
| Parameter & | a_ |
| Parameter & | b_ |
| Parameter & | sigma_ |
| Parameter & | lambda_ |
Protected Attributes inherited from CalibratedModel | |
| std::vector< Parameter > | arguments_ |
| boost::shared_ptr< Constraint > | constraint_ |
| EndCriteria::Type | shortRateEndCriteria_ |
| Array | problemValues_ |
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.