BlackKarasinski Class Reference
[Short-rate modelling framework]

#include <ql/models/shortrate/onefactormodels/blackkarasinski.hpp>

Inheritance diagram for BlackKarasinski:

Inheritance graph
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List of all members.

Detailed Description

Standard Black-Karasinski model class.

This class implements the standard Black-Karasinski model defined by

\[ d\ln r_t = (\theta(t) - \alpha \ln r_t)dt + \sigma dW_t, \]

where $ alpha $ and $ sigma $ are constants.

Examples:

BermudanSwaption.cpp.


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< Latticetree (const TimeGrid &grid) const
 Return by default a trinomial recombining tree.

Classes

class  Dynamics
 Short-rate dynamics in the Black-Karasinski model. More...