BlackKarasinski Class Reference
[Short-rate modelling framework]
#include <ql/models/shortrate/onefactormodels/blackkarasinski.hpp>
Inheritance diagram for BlackKarasinski:

Detailed Description
Standard Black-Karasinski model class.This class implements the standard Black-Karasinski model defined by
where and
are constants.
- Examples:
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< Lattice > | tree (const TimeGrid &grid) const |
Return by default a trinomial recombining tree. | |
Classes | |
class | Dynamics |
Short-rate dynamics in the Black-Karasinski model. More... |