QuantLib 0.3.11
Getting started
Reference manual
Vasicek Class Reference
[Short-rate modelling framework]
#include <ql/ShortRateModels/OneFactorModels/vasicek.hpp>
Inheritance diagram for Vasicek:
Detailed Description
Vasicek model classThis class implements the Vasicek model defined by
![\[ dr_t = a(b - r_t)dt + \sigma dW_t , \]](form_283.png)
where 
, 
and 
are constants; a risk premium 
can also be specified.
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_ |
Classes | |
| class | Dynamics |
| Short-rate dynamics in the Vasicek model. More... | |
