Dynamics (3) - Linux Manuals

Dynamics: Short-rate dynamics in the Black-Karasinski model.

Command to display Dynamics manual in Linux: $ man 3 Dynamics

NAME

QuantLib::BlackKarasinski::Dynamics - Short-rate dynamics in the Black-Karasinski model.

SYNOPSIS

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

Inherits QuantLib::OneFactorModel::ShortRateDynamics.

Public Member Functions

Dynamics (const Parameter &fitting, Real alpha, Real sigma)

Real variable (Time t, Rate r) const
Compute state variable from short rate.
Real shortRate (Time t, Real x) const
Compute short rate from state variable.

Detailed Description

Short-rate dynamics in the Black-Karasinski model.

The short-rate is here [ r_t = e^{meter (which can not be determined analytically) used for term-structure fitting and $ x_t $ is the state variable following an Ornstein-Uhlenbeck process.

Author

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