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

Detailed Description
Single-factor Hull-White (extended Vasicek) model class.This class implements the standard single-factor Hull-White model defined by
where and
are constants.
- Tests:
- calibration results are tested against cached values
- Bug:
- When the term structure is relinked, the r0 parameter of the underlying Vasicek model is not updated.
- Examples:
Public Member Functions | |
HullWhite (const Handle< YieldTermStructure > &termStructure, Real a=0.1, Real sigma=0.01) | |
boost::shared_ptr< Lattice > | tree (const TimeGrid &grid) const |
Return by default a trinomial recombining tree. | |
boost::shared_ptr< ShortRateDynamics > | dynamics () const |
returns the short-rate dynamics | |
Real | discountBondOption (Option::Type type, Real strike, Time maturity, Time bondMaturity) const |
Static Public Member Functions | |
static Rate | convexityBias (Real futurePrice, Time t, Time T, Real sigma, Real a) |
Protected Member Functions | |
void | generateArguments () |
Real | A (Time t, Time T) const |
Classes | |
class | Dynamics |
Short-rate dynamics in the Hull-White model. More... | |
class | FittingParameter |
Analytical term-structure fitting parameter ![]() |
Member Function Documentation
static Rate convexityBias | ( | Real | futurePrice, | |
Time | t, | |||
Time | T, | |||
Real | sigma, | |||
Real | a | |||
) | [static] |
Futures convexity bias (i.e., the difference between futures implied rate and forward rate) calculated as in G. Kirikos, D. Novak, "Convexity Conundrums", Risk Magazine, March 1997.
- Note:
- t and T should be expressed in yearfraction using deposit day counter, F_quoted is futures' market price.