HullWhite Class Reference
[Short-rate modelling framework]

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

Inheritance diagram for HullWhite:

Inheritance graph
[legend]
List of all members.

Detailed Description

Single-factor Hull-White (extended Vasicek) model class.

This class implements the standard single-factor Hull-White model defined by

\[ dr_t = (\theta(t) - \alpha r_t)dt + \sigma dW_t \]

where $ \alpha $ and $ \sigma $ 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:

BermudanSwaption.cpp.


Public Member Functions

 HullWhite (const Handle< YieldTermStructure > &termStructure, Real a=0.1, Real sigma=0.01)
boost::shared_ptr< Latticetree (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 $ \varphi(t) $. More...


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.