HullWhite::Dynamics Class Reference
Short-rate dynamics in the Hull-White model. More...
#include <ql/models/shortrate/onefactormodels/hullwhite.hpp>
Inheritance diagram for HullWhite::Dynamics:

Public Member Functions | |
| Dynamics (const Parameter &fitting, Real a, Real sigma) | |
| Real | variable (Time t, Rate r) const |
| Compute state variable from short rate. | |
| Real | shortRate (Time t, Real x) const |
| Compute short rate from state variable. | |
Detailed Description
Short-rate dynamics in the Hull-White model.The short-rate is here
where
is the deterministic time-dependent parameter used for term-structure fitting and
is the state variable following an Ornstein-Uhlenbeck process.