- QuantLib
- GeneralizedHullWhite
 
Generalized Hull-White model class. More...
#include <ql/experimental/shortrate/generalizedhullwhite.hpp>

| Classes | |
| class | Dynamics | 
| Short-rate dynamics in the generalized Hull-White model.  More... | |
| Public Member Functions | |
| GeneralizedHullWhite (const Handle< YieldTermStructure > &yieldtermStructure, const std::vector< Date > &speedstructure, const std::vector< Date > &volstructure) | |
| GeneralizedHullWhite (const Handle< YieldTermStructure > &yieldtermStructure, const std::vector< Date > &speedstructure, const std::vector< Date > &volstructure, const std::vector< Real > &speed, const std::vector< Real > &vol) | |
| 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. | |
Generalized Hull-White model class.
This class implements the standard Black-Karasinski model defined by
![\[ d f(r_t) = (\theta(t) - \alpha f(r_t))dt + \sigma dW_t, \]](form_138.png) 
 where  and
 and  are piecewise linear functions.
 are piecewise linear functions.