Short-rate dynamics in the generalized Hull-White model. More...
#include <ql/experimental/shortrate/generalizedhullwhite.hpp>
Inherits ShortRateDynamics.
Public Member Functions | |
Dynamics (const Parameter &fitting, const boost::function< Real(Time)> &alpha, const boost::function< Real(Time)> &sigma, const boost::function< Real(Real)> &f, const boost::function< Real(Real)> &fInverse) | |
Dynamics (const Parameter &fitting, Real a, Real sigma) | |
Real | variable (Time t, Rate r=0.01) const |
Real | shortRate (Time t, Real x) const |
Short-rate dynamics in the generalized Hull-White model.
The short-rate is here
f(r_t) = x_t + g(t)
where g is the deterministic time-dependent parameter (which can't be determined analytically) used for initial term-structure fitting and x_t is the state variable following an Ornstein-Uhlenbeck process.
In this version, the function f may also be defined as a piece-wise linear function and can be calibrated to the away-from-the-money instruments.