- QuantLib
- BlackKarasinski
 
Standard Black-Karasinski model class. More...
#include <ql/models/shortrate/onefactormodels/blackkarasinski.hpp>

| Classes | |
| class | Dynamics | 
| Short-rate dynamics in the Black-Karasinski model.  More... | |
| Public Member Functions | |
| BlackKarasinski (const Handle< YieldTermStructure > &termStructure, Real a=0.1, Real sigma=0.1) | |
| boost::shared_ptr < ShortRateDynamics > | dynamics () const | 
| returns the short-rate dynamics | |
| boost::shared_ptr< Lattice > | tree (const TimeGrid &grid) const | 
| Return by default a trinomial recombining tree. | |
Standard Black-Karasinski model class.
This class implements the standard Black-Karasinski model defined by
![\[ d\ln r_t = (\theta(t) - \alpha \ln r_t)dt + \sigma dW_t, \]](form_292.png) 
 where  and
 and  are constants.
 are constants.