![]() QuantLib 0.3.11Getting startedReference manual |
BlackKarasinski Class Reference |
Public Member Functions | |
BlackKarasinski (const Handle< YieldTermStructure > &termStructure, Real a=0.1, Real sigma=0.1) | |
boost::shared_ptr< ShortRateDynamics > | dynamics () const |
returns the short-rate dynamics | |
boost::shared_ptr< NumericalMethod > | tree (const TimeGrid &grid) const |
Return by default a trinomial recombining tree. | |
Classes | |
class | Dynamics |
Short-rate dynamics in the Black-Karasinski model. More... |
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