Vasicek Class Reference

#include <ql/ShortRateModels/OneFactorModels/vasicek.hpp>

Inheritance diagram for Vasicek:

[legend]List of all members.

Detailed Description

Vasicek model class

This class implements the Vasicek model defined by

$dr_t = a(b - r_t)dt + \sigma dW_t ,$

where $ a $ , $ b $ and $\sigma$ are constants.

Public Member Functions

Vasicek (Rate r0=0.05, double a=0.1, double b=0.05, double sigma=0.01)

virtual double discountBondOption (Option::Type type, double strike, Time maturity, Time bondMaturity) const

virtual Handle< ShortRateDynamics > dynamics () const

returns the short-rate dynamics

Protected Member Functions

virtual double A (Time t, Time T) const

virtual double B (Time t, Time T) const

double a () const

double b () const

double sigma () const

QuantLib 0.3.6

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Introduction to QuantLib

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Reference manual

Vasicek Class Reference

Detailed Description

Public Member Functions

Protected Member Functions