QuantLib
A free/open-source library for quantitative finance
Reference manual - version 1.20
Classes | Public Member Functions | Static Public Member Functions | Protected Member Functions | List of all members
HullWhite Class Reference

Single-factor Hull-White (extended Vasicek) model class. More...

#include <ql/models/shortrate/onefactormodels/hullwhite.hpp>

+ Inheritance diagram for HullWhite:

Classes

class  Dynamics
 Short-rate dynamics in the Hull-White model. More...
 
class  FittingParameter
 Analytical term-structure fitting parameter \( \varphi(t) \). More...
 

Public Member Functions

 HullWhite (const Handle< YieldTermStructure > &termStructure, Real a=0.1, Real sigma=0.01)
 
ext::shared_ptr< Latticetree (const TimeGrid &grid) const
 Return by default a trinomial recombining tree.
 
ext::shared_ptr< ShortRateDynamicsdynamics () const
 returns the short-rate dynamics
 
Real discountBondOption (Option::Type type, Real strike, Time maturity, Time bondMaturity) const
 
Real discountBondOption (Option::Type type, Real strike, Time maturity, Time bondStart, Time bondMaturity) const
 
- Public Member Functions inherited from Vasicek
 Vasicek (Rate r0=0.05, Real a=0.1, Real b=0.05, Real sigma=0.01, Real lambda=0.0)
 
Real a () const
 
Real b () const
 
Real lambda () const
 
Real sigma () const
 
Real r0 () const
 
- Public Member Functions inherited from OneFactorAffineModel
 OneFactorAffineModel (Size nArguments)
 
virtual Real discountBond (Time now, Time maturity, Array factors) const
 
Real discountBond (Time now, Time maturity, Rate rate) const
 
DiscountFactor discount (Time t) const
 Implied discount curve.
 
- Public Member Functions inherited from OneFactorModel
 OneFactorModel (Size nArguments)
 
- Public Member Functions inherited from ShortRateModel
 ShortRateModel (Size nArguments)
 
- Public Member Functions inherited from CalibratedModel
 CalibratedModel (Size nArguments)
 
void update ()
 
virtual void calibrate (const std::vector< ext::shared_ptr< CalibrationHelper > > &, OptimizationMethod &method, const EndCriteria &endCriteria, const Constraint &constraint=Constraint(), const std::vector< Real > &weights=std::vector< Real >(), const std::vector< bool > &fixParameters=std::vector< bool >())
 Calibrate to a set of market instruments (usually caps/swaptions) More...
 
virtual QL_DEPRECATED void calibrate (const std::vector< ext::shared_ptr< BlackCalibrationHelper > > &, OptimizationMethod &method, const EndCriteria &endCriteria, const Constraint &constraint=Constraint(), const std::vector< Real > &weights=std::vector< Real >(), const std::vector< bool > &fixParameters=std::vector< bool >())
 
Real value (const Array &params, const std::vector< ext::shared_ptr< CalibrationHelper > > &)
 
QL_DEPRECATED Real value (const Array &params, const std::vector< ext::shared_ptr< BlackCalibrationHelper > > &)
 
const ext::shared_ptr< Constraint > & constraint () const
 
EndCriteria::Type endCriteria () const
 Returns end criteria result.
 
const ArrayproblemValues () const
 Returns the problem values.
 
Disposable< Arrayparams () const
 Returns array of arguments on which calibration is done.
 
virtual void setParams (const Array &params)
 
Integer functionEvaluation () const
 
- Public Member Functions inherited from Observer
 Observer (const Observer &)
 
Observeroperator= (const Observer &)
 
std::pair< iterator, bool > registerWith (const ext::shared_ptr< Observable > &)
 
void registerWithObservables (const ext::shared_ptr< Observer > &)
 
Size unregisterWith (const ext::shared_ptr< Observable > &)
 
void unregisterWithAll ()
 
virtual void deepUpdate ()
 
- Public Member Functions inherited from Observable
 Observable (const Observable &)
 
Observableoperator= (const Observable &)
 
void notifyObservers ()
 
- Public Member Functions inherited from TermStructureConsistentModel
 TermStructureConsistentModel (const Handle< YieldTermStructure > &termStructure)
 
const Handle< YieldTermStructure > & termStructure () const
 

Static Public Member Functions

static Rate convexityBias (Real futurePrice, Time t, Time T, Real sigma, Real a)
 
static std::vector< bool > FixedReversion ()
 

Protected Member Functions

void generateArguments ()
 
Real A (Time t, Time T) const
 
- Protected Member Functions inherited from Vasicek
virtual Real B (Time t, Time T) const
 

Additional Inherited Members

- Public Types inherited from Observer
typedef boost::unordered_set< ext::shared_ptr< Observable > > set_type
 
typedef set_type::iterator iterator
 
- Protected Attributes inherited from Vasicek
Real r0_
 
Parametera_
 
Parameterb_
 
Parametersigma_
 
Parameterlambda_
 
- Protected Attributes inherited from CalibratedModel
std::vector< Parameterarguments_
 
ext::shared_ptr< Constraintconstraint_
 
EndCriteria::Type shortRateEndCriteria_
 
Array problemValues_
 
Integer functionEvaluation_
 

Detailed Description

Single-factor Hull-White (extended Vasicek) model class.

This class implements the standard single-factor Hull-White model defined by

\[ dr_t = (\theta(t) - \alpha r_t)dt + \sigma dW_t \]

where \( \alpha \) and \( \sigma \) are constants.

Tests:
calibration results are tested against cached values
Bug:
When the term structure is relinked, the r0 parameter of the underlying Vasicek model is not updated.
Examples
BermudanSwaption.cpp, and CallableBonds.cpp.

Member Function Documentation

◆ convexityBias()

static Rate convexityBias ( Real  futurePrice,
Time  t,
Time  T,
Real  sigma,
Real  a 
)
static

Futures convexity bias (i.e., the difference between futures implied rate and forward rate) calculated as in G. Kirikos, D. Novak, "Convexity Conundrums", Risk Magazine, March 1997.

Note
t and T should be expressed in yearfraction using deposit day counter, F_quoted is futures' market price.