sigma_ (3) - Linux Manuals

sigma_: Vasicek model class

NAME

QuantLib::Vasicek - Vasicek model class

SYNOPSIS

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

Inherits QuantLib::OneFactorAffineModel.

Inherited by HullWhite.

Classes

class Dynamics
Short-rate dynamics in the Vasicek model.

Public Member Functions

Vasicek (Rate r0=0.05, Real a=0.1, Real b=0.05, Real sigma=0.01, Real lambda=0.0)

virtual Real discountBondOption (Option::Type type, Real strike, Time maturity, Time bondMaturity) const

virtual boost::shared_ptr< ShortRateDynamics > dynamics () const
returns the short-rate dynamics

Protected Member Functions

virtual Real A (Time t, Time T) const

virtual Real B (Time t, Time T) const

Real a () const

Real b () const

Real lambda () const

Real sigma () const

Protected Attributes

Real r0_

Parameter & a_

Parameter & b_

Parameter & sigma_

Parameter & lambda_

Detailed Description

Vasicek model class

This class implements the Vasicek model defined by [ dr_t = a(b - r_t)dt + igma dW_t , ] where $ a $, $ b $ and $ igma $ are constants; a risk premium $

Author

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