Generalized Hull-White model class. More...
#include <ql/experimental/shortrate/generalizedhullwhite.hpp>
Classes | |
class | Dynamics |
Short-rate dynamics in the generalized Hull-White model. More... | |
class | FittingParameter |
Analytical term-structure fitting parameter \( \varphi(t) \). More... | |
Public Member Functions | |
GeneralizedHullWhite (const Handle< YieldTermStructure > &yieldtermStructure, const std::vector< Date > &speedstructure, const std::vector< Date > &volstructure, const boost::function< Real(Real)> &f=boost::function< Real(Real)>(), const boost::function< Real(Real)> &fInverse=boost::function< Real(Real)>()) | |
GeneralizedHullWhite (const Handle< YieldTermStructure > &yieldtermStructure, const std::vector< Date > &speedstructure, const std::vector< Date > &volstructure, const std::vector< Real > &speed, const std::vector< Real > &vol, const boost::function< Real(Real)> &f=boost::function< Real(Real)>(), const boost::function< Real(Real)> &fInverse=boost::function< Real(Real)>()) | |
boost::shared_ptr< ShortRateDynamics > | dynamics () const |
returns the short-rate dynamics | |
boost::shared_ptr< Lattice > | tree (const TimeGrid &grid) const |
GeneralizedHullWhite (const Handle< YieldTermStructure > &yieldtermStructure, Real a=0.1, Real sigma=0.01) | |
boost::shared_ptr< ShortRateDynamics > | HWdynamics () const |
Real | discountBondOption (Option::Type type, Real strike, Time maturity, Time bondMaturity) const |
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OneFactorAffineModel (Size nArguments) | |
virtual Real | discountBond (Time now, Time maturity, Array factors) const |
Real | discountBond (Time now, Time maturity, Rate rate) const |
DiscountFactor | discount (Time t) const |
Implied discount curve. | |
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OneFactorModel (Size nArguments) | |
boost::shared_ptr< Lattice > | tree (const TimeGrid &grid) const |
Return by default a trinomial recombining tree. | |
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ShortRateModel (Size nArguments) | |
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CalibratedModel (Size nArguments) | |
void | update () |
virtual void | calibrate (const std::vector< boost::shared_ptr< CalibrationHelper > > &, OptimizationMethod &method, const EndCriteria &endCriteria, const Constraint &constraint=Constraint(), const std::vector< Real > &weights=std::vector< Real >(), const std::vector< bool > &fixParameters=std::vector< bool >()) |
Calibrate to a set of market instruments (usually caps/swaptions) More... | |
Real | value (const Array ¶ms, const std::vector< boost::shared_ptr< CalibrationHelper > > &) |
const boost::shared_ptr< Constraint > & | constraint () const |
EndCriteria::Type | endCriteria () const |
Returns end criteria result. | |
Disposable< Array > | params () const |
Returns array of arguments on which calibration is done. | |
virtual void | setParams (const Array ¶ms) |
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Observer (const Observer &) | |
Observer & | operator= (const Observer &) |
std::pair< std::set< boost::shared_ptr< Observable > >::iterator, bool > | registerWith (const boost::shared_ptr< Observable > &) |
void | registerWithObservables (const boost::shared_ptr< Observer > &) |
Size | unregisterWith (const boost::shared_ptr< Observable > &) |
void | unregisterWithAll () |
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Observable (const Observable &) | |
Observable & | operator= (const Observable &) |
void | notifyObservers () |
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virtual Real | discountBondOption (Option::Type type, Real strike, Time maturity, Time bondStart, Time bondMaturity) const |
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TermStructureConsistentModel (const Handle< YieldTermStructure > &termStructure) | |
const Handle< YieldTermStructure > & | termStructure () const |
Static Public Member Functions | |
static Rate | convexityBias (Real futurePrice, Time t, Time T, Real sigma, Real a) |
Protected Member Functions | |
Real | a () const |
Real | sigma () const |
void | generateArguments () |
Real | A (Time t, Time T) const |
Real | B (Time t, Time T) const |
Additional Inherited Members | |
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std::vector< Parameter > | arguments_ |
boost::shared_ptr< Constraint > | constraint_ |
EndCriteria::Type | shortRateEndCriteria_ |
Generalized Hull-White model class.
This class implements the standard Black-Karasinski model defined by
\[ d f(r_t) = (\theta(t) - \alpha f(r_t))dt + \sigma dW_t, \]
where \( alpha \) and \( sigma \) are piecewise linear functions.