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

Detailed Description
Vasicek model classThis class implements the Vasicek model defined by
where ,
and
are constants; a risk premium
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_ |
Parameter & | a_ |
Parameter & | b_ |
Parameter & | sigma_ |
Parameter & | lambda_ |
Classes | |
class | Dynamics |
Short-rate dynamics in the Vasicek model. More... |