QuantLib 0.3.11
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Reference manual
HullWhite Class Reference
[Short-rate modelling framework]
#include <ql/ShortRateModels/OneFactorModels/hullwhite.hpp>
Inheritance diagram for HullWhite:
Detailed Description
Single-factor Hull-White (extended Vasicek) model class.This class implements the standard single-factor Hull-White model defined by
![\[ dr_t = (\theta(t) - \alpha r_t)dt + \sigma dW_t \]](form_280.png)
where 
and 
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:
Public Member Functions | |
| HullWhite (const Handle< YieldTermStructure > &termStructure, Real a=0.1, Real sigma=0.01) | |
| boost::shared_ptr< NumericalMethod > | 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 |
Protected Member Functions | |
| void | generateArguments () |
| Real | A (Time t, Time T) const |
Classes | |
| class | Dynamics |
| Short-rate dynamics in the Hull-White model. More... | |
| class | FittingParameter |
Analytical term-structure fitting parameter  . More... | |
