Vasicek Class Reference
[Short-rate modelling framework]

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

Inheritance diagram for Vasicek:

Inheritance graph
[legend]
List of all members.

Detailed Description

Vasicek model class

This class implements the Vasicek model defined by

\[ dr_t = a(b - r_t)dt + \sigma dW_t , \]

where $ a $, $ b $ and $ \sigma $ are constants; a risk premium $ \lambda $ can also be specified.


Public Member Functions

 Vasicek (Rate r0=0.05, Real a=0.1, Real b=0.05, Real sigma=0.01, Real lambda=0.0)
virtual Real discountBondOption (Option::Type type, Real strike, Time maturity, Time bondMaturity) const
virtual boost::shared_ptr<
ShortRateDynamics > 
dynamics () const
 returns the short-rate dynamics

Protected Member Functions

virtual Real A (Time t, Time T) const
virtual Real B (Time t, Time T) const
Real a () const
Real b () const
Real lambda () const
Real sigma () const

Protected Attributes

Real r0_
Parametera_
Parameterb_
Parametersigma_
Parameterlambda_

Classes

class  Dynamics
 Short-rate dynamics in the Vasicek model. More...