QuantLib 0.3.11
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BlackKarasinski Class Reference
[Short-rate modelling framework]
#include <ql/ShortRateModels/OneFactorModels/blackkarasinski.hpp>
Inheritance diagram for BlackKarasinski:
Detailed Description
Standard Black-Karasinski model class.This class implements the standard Black-Karasinski model defined by
![\[ d\ln r_t = (\theta(t) - \alpha \ln r_t)dt + \sigma dW_t, \]](form_266.png)
where 
and 
are constants.
- Examples:
Public Member Functions | |
| BlackKarasinski (const Handle< YieldTermStructure > &termStructure, Real a=0.1, Real sigma=0.1) | |
| boost::shared_ptr< ShortRateDynamics > | dynamics () const |
| returns the short-rate dynamics | |
| boost::shared_ptr< NumericalMethod > | tree (const TimeGrid &grid) const |
| Return by default a trinomial recombining tree. | |
Classes | |
| class | Dynamics |
| Short-rate dynamics in the Black-Karasinski model. More... | |
