BlackKarasinski::Dynamics Class Reference
#include <ql/ShortRateModels/OneFactorModels/blackkarasinski.hpp>
Detailed Description
Short-rate dynamics in the Black-Karasinski model.The short-rate is here
where is the deterministic time-dependent parameter (which can not be determined analytically) used for term-structure fitting and
is the state variable following an Ornstein-Uhlenbeck process.
Public Member Functions | |
Dynamics (const Parameter &fitting, Real alpha, Real sigma) | |
Real | variable (Time t, Rate r) const |
Real | shortRate (Time t, Real x) const |