HullWhite Class Reference
[Short-rate modelling framework]
Single-factor Hull-White (extended Vasicek) model class.
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#include <ql/models/shortrate/onefactormodels/hullwhite.hpp>
Inheritance diagram for HullWhite:

Classes | |
| class | Dynamics |
| Short-rate dynamics in the Hull-White model. More... | |
| class | FittingParameter |
Analytical term-structure fitting parameter . More... | |
Public Member Functions | |
| HullWhite (const Handle< YieldTermStructure > &termStructure, Real a=0.1, Real sigma=0.01) | |
| boost::shared_ptr< Lattice > | 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 |
Static Public Member Functions | |
| static Rate | convexityBias (Real futurePrice, Time t, Time T, Real sigma, Real a) |
Protected Member Functions | |
| void | generateArguments () |
| Real | A (Time t, Time T) const |
Detailed Description
Single-factor Hull-White (extended Vasicek) model class.This class implements the standard single-factor Hull-White model defined by
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:
Member Function Documentation
| static Rate convexityBias | ( | Real | futurePrice, | |
| Time | t, | |||
| Time | T, | |||
| Real | sigma, | |||
| Real | a | |||
| ) | [static] |
Futures convexity bias (i.e., the difference between futures implied rate and forward rate) calculated as in G. Kirikos, D. Novak, "Convexity Conundrums", Risk Magazine, March 1997.
- Note:
- t and T should be expressed in yearfraction using deposit day counter, F_quoted is futures' market price.
.