- QuantLib
- GeneralizedHullWhite
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... | |
Public Member Functions | |
| GeneralizedHullWhite (const Handle< YieldTermStructure > &yieldtermStructure, const std::vector< Date > &speedstructure, const std::vector< Date > &volstructure) | |
| 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) | |
|
boost::shared_ptr < ShortRateDynamics > | dynamics () const |
| returns the short-rate dynamics | |
| boost::shared_ptr< Lattice > | tree (const TimeGrid &grid) const |
| Return by default a trinomial recombining tree. | |
Generalized Hull-White model class.
This class implements the standard Black-Karasinski model defined by
where
and
are piecewise linear functions.