Generalized Hull-White model class. More...
#include <ql/experimental/shortrate/generalizedhullwhite.hpp>
Inheritance diagram for GeneralizedHullWhite:Classes | |
| class | Dynamics |
| Short-rate dynamics in the generalized Hull-White model. More... | |
| class | FittingParameter |
| Analytical term-structure fitting parameter \( \varphi(t) \). More... | |
Public Member Functions | |
| GeneralizedHullWhite (const Handle< YieldTermStructure > &yieldtermStructure, const std::vector< Date > &speedstructure, const std::vector< Date > &volstructure, const boost::function< Real(Real)> &f=boost::function< Real(Real)>(), const boost::function< Real(Real)> &fInverse=boost::function< Real(Real)>()) | |
| GeneralizedHullWhite (const Handle< YieldTermStructure > &yieldtermStructure, const std::vector< Date > &speedstructure, const std::vector< Date > &volstructure, const std::vector< Real > &speed, const std::vector< Real > &vol, const boost::function< Real(Real)> &f=boost::function< Real(Real)>(), const boost::function< Real(Real)> &fInverse=boost::function< Real(Real)>()) | |
| boost::shared_ptr< ShortRateDynamics > | dynamics () const |
| returns the short-rate dynamics | |
| boost::shared_ptr< Lattice > | tree (const TimeGrid &grid) const |
| GeneralizedHullWhite (const Handle< YieldTermStructure > &yieldtermStructure, Real a=0.1, Real sigma=0.01) | |
| boost::shared_ptr< ShortRateDynamics > | HWdynamics () const |
| Real | discountBondOption (Option::Type type, Real strike, Time maturity, Time bondMaturity) 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) | |
| boost::shared_ptr< Lattice > | tree (const TimeGrid &grid) const |
| Return by default a trinomial recombining tree. | |
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 AffineModel | |
| virtual Real | discountBondOption (Option::Type type, Real strike, Time maturity, Time bondStart, Time bondMaturity) const |
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) |
Protected Member Functions | |
| Real | a () const |
| Real | sigma () const |
| void | generateArguments () |
| Real | A (Time t, Time T) const |
| 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 CalibratedModel | |
| std::vector< Parameter > | arguments_ |
| boost::shared_ptr< Constraint > | constraint_ |
| EndCriteria::Type | shortRateEndCriteria_ |
| Array | problemValues_ |
Generalized Hull-White model class.
This class implements the standard Black-Karasinski model defined by
\[ d f(r_t) = (\theta(t) - \alpha f(r_t))dt + \sigma dW_t, \]
where \( alpha \) and \( sigma \) are piecewise linear functions.