A free/open-source library for quantitative finance
Reference manual - version 1.20
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A free/open-source library for quantitative finance
Reference manual - version 1.20
|
Vasicek model class More...
#include <ql/models/shortrate/onefactormodels/vasicek.hpp>
Inheritance diagram for Vasicek: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 ext::shared_ptr< ShortRateDynamics > | dynamics () const |
| returns the short-rate dynamics | |
| 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) | |
| ext::shared_ptr< Lattice > | tree (const TimeGrid &grid) const |
| Return by default a trinomial recombining tree. | |
| 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 ¶ms, const std::vector< ext::shared_ptr< CalibrationHelper > > &) |
| QL_DEPRECATED Real | value (const Array ¶ms, const std::vector< ext::shared_ptr< BlackCalibrationHelper > > &) |
| const ext::shared_ptr< Constraint > & | constraint () const |
| EndCriteria::Type | endCriteria () const |
| Returns end criteria result. | |
| const Array & | problemValues () const |
| Returns the problem values. | |
| Disposable< Array > | params () const |
| Returns array of arguments on which calibration is done. | |
| virtual void | setParams (const Array ¶ms) |
| Integer | functionEvaluation () const |
| Public Member Functions inherited from Observer | |
| Observer (const Observer &) | |
| Observer & | operator= (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 &) | |
| Observable & | operator= (const Observable &) |
| void | notifyObservers () |
| Public Member Functions inherited from AffineModel | |
| virtual Real | discountBondOption (Option::Type type, Real strike, Time maturity, Time bondStart, Time bondMaturity) const |
Protected Member Functions | |
| virtual Real | A (Time t, Time T) const |
| virtual Real | B (Time t, Time T) const |
| Protected Member Functions inherited from CalibratedModel | |
| virtual void | generateArguments () |
Protected Attributes | |
| Real | r0_ |
| Parameter & | a_ |
| Parameter & | b_ |
| Parameter & | sigma_ |
| Parameter & | lambda_ |
| Protected Attributes inherited from CalibratedModel | |
| std::vector< Parameter > | arguments_ |
| ext::shared_ptr< Constraint > | constraint_ |
| EndCriteria::Type | shortRateEndCriteria_ |
| Array | problemValues_ |
| Integer | functionEvaluation_ |
Additional Inherited Members | |
| Public Types inherited from Observer | |
| typedef boost::unordered_set< ext::shared_ptr< Observable > > | set_type |
| typedef set_type::iterator | iterator |
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; a risk premium \( \lambda \) can also be specified.
