- QuantLib
- Vasicek
 
Vasicek model class More...
#include <ql/models/shortrate/onefactormodels/vasicek.hpp>

| Classes | |
| class | Dynamics | 
| Short-rate dynamics in the Vasicek model.  More... | |
| 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_ | 
Vasicek model class
This class implements the Vasicek model defined by
![\[ dr_t = a(b - r_t)dt + \sigma dW_t , \]](form_307.png) 
 where  ,
,  and
 and  are constants; a risk premium
 are constants; a risk premium  can also be specified.
 can also be specified.