QuantLib_HullWhite (3) - Linux Manuals

QuantLib_HullWhite: Single-factor Hull-White (extended Vasicek) model class.

NAME

QuantLib::HullWhite - Single-factor Hull-White (extended Vasicek) model class.

SYNOPSIS

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

Inherits QuantLib::Vasicek, and QuantLib::TermStructureConsistentModel.

Classes

class Dynamics
Short-rate dynamics in the Hull-White model.
class FittingParameter
Analytical term-structure fitting parameter $ ndle< YieldTermStructure > &termStructure, Real a=0.1, Real sigma=0.01)"

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

Static Public Member Functions

static Rate convexityBias (Real futurePrice, Time t, Time T, Real sigma, Real a)

Protected Member Functions

void generateArguments ()

Real A (Time t, Time T) const

Detailed Description

Single-factor Hull-White (extended Vasicek) model class.

This class implements the standard single-factor Hull-White model defined by [ dr_t = ( heta(t) - lpha r_t)dt + igma dW_t ] where $ lpha $ and $ igma $ are constants.

Tests

calibration results are tested against cached values

Bug

When the term structure is relinked, the r0 parameter of the underlying Vasicek model is not updated.

Examples:

BermudanSwaption.cpp, and CallableBonds.cpp.

Member Function Documentation

static Rate convexityBias (Real futurePrice, Time t, Time T, Real sigma, Real a) [static]

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.

Note:

t and T should be expressed in yearfraction using deposit day counter, F_quoted is futures' market price.

Author

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