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<a class="el" href="namespace_quant_lib.html">QuantLib</a>::<a class="el" href="class_quant_lib_1_1_vasicek.html">Vasicek</a></div>
<h1>Vasicek Class Reference<br>
<small>
[<a class="el" href="group__shortrate.html">Short-rate modelling framework</a>]</small>
</h1><!-- doxytag: class="QuantLib::Vasicek" --><!-- doxytag: inherits="QuantLib::OneFactorAffineModel" --><code>#include <ql/models/shortrate/onefactormodels/vasicek.hpp></code>
<p>
<div class="dynheader">
Inheritance diagram for Vasicek:</div>
<div class="dynsection">
<p><center><img src="class_quant_lib_1_1_vasicek__inherit__graph.png" border="0" usemap="#_vasicek__inherit__map" alt="Inheritance graph"></center>
<map name="_vasicek__inherit__map">
<area shape="rect" href="class_quant_lib_1_1_hull_white.html" title="Single-factor Hull-White (extended Vasicek) model class." alt="" coords="48,161,128,188"><area shape="rect" href="class_quant_lib_1_1_one_factor_affine_model.html" title="Single-factor affine base class." alt="" coords="5,7,171,33"></map>
<center><font size="2">[<a href="graph_legend.html">legend</a>]</font></center></div>
<p>
<a href="class_quant_lib_1_1_vasicek-members.html">List of all members.</a><hr><a name="_details"></a><h2>Detailed Description</h2>
Vasicek model class
<p>
This class implements the <a class="el" href="class_quant_lib_1_1_vasicek.html" title="Vasicek model class">Vasicek</a> model defined by <p class="formulaDsp">
<img class="formulaDsp" alt="\[ dr_t = a(b - r_t)dt + \sigma dW_t , \]" src="form_234.png">
<p>
where <img class="formulaInl" alt="$ a $" src="form_51.png">, <img class="formulaInl" alt="$ b $" src="form_52.png"> and <img class="formulaInl" alt="$ \sigma $" src="form_4.png"> are constants; a risk premium <img class="formulaInl" alt="$ \lambda $" src="form_29.png"> can also be specified. <table border="0" cellpadding="0" cellspacing="0">
<tr><td></td></tr>
<tr><td colspan="2"><br><h2>Public Member Functions</h2></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="d3ace61536533987a5945b8f640b56ba"></a><!-- doxytag: member="QuantLib::Vasicek::Vasicek" ref="d3ace61536533987a5945b8f640b56ba" args="(Rate r0=0.05, Real a=0.1, Real b=0.05, Real sigma=0.01, Real lambda=0.0)" -->
</td><td class="memItemRight" valign="bottom"><b>Vasicek</b> (<a class="el" href="group__types.html#gede435af51236692b1107d7639581d39">Rate</a> r0=0.05, <a class="el" href="group__types.html#g4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> a=0.1, <a class="el" href="group__types.html#g4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> b=0.05, <a class="el" href="group__types.html#g4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> sigma=0.01, <a class="el" href="group__types.html#g4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> lambda=0.0)</td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="7c92e4a748c8ff38b33f1460ee56dceb"></a><!-- doxytag: member="QuantLib::Vasicek::discountBondOption" ref="7c92e4a748c8ff38b33f1460ee56dceb" args="(Option::Type type, Real strike, Time maturity, Time bondMaturity) const " -->
virtual <a class="el" href="group__types.html#g4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> </td><td class="memItemRight" valign="bottom"><b>discountBondOption</b> (Option::Type type, <a class="el" href="group__types.html#g4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> strike, <a class="el" href="group__types.html#g14fb8fca43a68f4168654e1f9f7e22f7">Time</a> maturity, <a class="el" href="group__types.html#g14fb8fca43a68f4168654e1f9f7e22f7">Time</a> bondMaturity) const </td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="b819304423e7791547c3089322a190be"></a><!-- doxytag: member="QuantLib::Vasicek::dynamics" ref="b819304423e7791547c3089322a190be" args="() const " -->
virtual boost::shared_ptr<br>
< <a class="el" href="class_quant_lib_1_1_one_factor_model_1_1_short_rate_dynamics.html">ShortRateDynamics</a> > </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_vasicek.html#b819304423e7791547c3089322a190be">dynamics</a> () const </td></tr>
<tr><td class="mdescLeft"> </td><td class="mdescRight">returns the short-rate dynamics <br></td></tr>
<tr><td colspan="2"><br><h2>Protected Member Functions</h2></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="cc2599494b8b8a5d2dc1413f4c438aa2"></a><!-- doxytag: member="QuantLib::Vasicek::A" ref="cc2599494b8b8a5d2dc1413f4c438aa2" args="(Time t, Time T) const " -->
virtual <a class="el" href="group__types.html#g4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> </td><td class="memItemRight" valign="bottom"><b>A</b> (<a class="el" href="group__types.html#g14fb8fca43a68f4168654e1f9f7e22f7">Time</a> t, <a class="el" href="group__types.html#g14fb8fca43a68f4168654e1f9f7e22f7">Time</a> T) const </td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="b9dc25c5b0470f0c58aa93e4a96341ab"></a><!-- doxytag: member="QuantLib::Vasicek::B" ref="b9dc25c5b0470f0c58aa93e4a96341ab" args="(Time t, Time T) const " -->
virtual <a class="el" href="group__types.html#g4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> </td><td class="memItemRight" valign="bottom"><b>B</b> (<a class="el" href="group__types.html#g14fb8fca43a68f4168654e1f9f7e22f7">Time</a> t, <a class="el" href="group__types.html#g14fb8fca43a68f4168654e1f9f7e22f7">Time</a> T) const </td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="eb6c2cfe0928889369fc49347418ce31"></a><!-- doxytag: member="QuantLib::Vasicek::a" ref="eb6c2cfe0928889369fc49347418ce31" args="() const " -->
<a class="el" href="group__types.html#g4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> </td><td class="memItemRight" valign="bottom"><b>a</b> () const </td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="d1cf85afbb81add225d9d591923cae35"></a><!-- doxytag: member="QuantLib::Vasicek::b" ref="d1cf85afbb81add225d9d591923cae35" args="() const " -->
<a class="el" href="group__types.html#g4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> </td><td class="memItemRight" valign="bottom"><b>b</b> () const </td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="24cb1182953e872918829ca60b348e54"></a><!-- doxytag: member="QuantLib::Vasicek::lambda" ref="24cb1182953e872918829ca60b348e54" args="() const " -->
<a class="el" href="group__types.html#g4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> </td><td class="memItemRight" valign="bottom"><b>lambda</b> () const </td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="78bca11664a7d403bde6a9842f72ae61"></a><!-- doxytag: member="QuantLib::Vasicek::sigma" ref="78bca11664a7d403bde6a9842f72ae61" args="() const " -->
<a class="el" href="group__types.html#g4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> </td><td class="memItemRight" valign="bottom"><b>sigma</b> () const </td></tr>
<tr><td colspan="2"><br><h2>Protected Attributes</h2></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="21cb0313d759e9d26706f81f8a17d98c"></a><!-- doxytag: member="QuantLib::Vasicek::r0_" ref="21cb0313d759e9d26706f81f8a17d98c" args="" -->
<a class="el" href="group__types.html#g4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> </td><td class="memItemRight" valign="bottom"><b>r0_</b></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="d4439c51d60a45db28cbc47843a73171"></a><!-- doxytag: member="QuantLib::Vasicek::a_" ref="d4439c51d60a45db28cbc47843a73171" args="" -->
<a class="el" href="class_quant_lib_1_1_parameter.html">Parameter</a> & </td><td class="memItemRight" valign="bottom"><b>a_</b></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="11a47769611407b76d3b56ec19497841"></a><!-- doxytag: member="QuantLib::Vasicek::b_" ref="11a47769611407b76d3b56ec19497841" args="" -->
<a class="el" href="class_quant_lib_1_1_parameter.html">Parameter</a> & </td><td class="memItemRight" valign="bottom"><b>b_</b></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="070a7d50740ec1a9a7cab8de7a5bed62"></a><!-- doxytag: member="QuantLib::Vasicek::sigma_" ref="070a7d50740ec1a9a7cab8de7a5bed62" args="" -->
<a class="el" href="class_quant_lib_1_1_parameter.html">Parameter</a> & </td><td class="memItemRight" valign="bottom"><b>sigma_</b></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="145abe699377e7ed7e4be80259b3cc49"></a><!-- doxytag: member="QuantLib::Vasicek::lambda_" ref="145abe699377e7ed7e4be80259b3cc49" args="" -->
<a class="el" href="class_quant_lib_1_1_parameter.html">Parameter</a> & </td><td class="memItemRight" valign="bottom"><b>lambda_</b></td></tr>
<tr><td colspan="2"><br><h2>Classes</h2></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top">class </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_vasicek_1_1_dynamics.html">Dynamics</a></td></tr>
<tr><td class="mdescLeft"> </td><td class="mdescRight">Short-rate dynamics in the Vasicek model. <a href="class_quant_lib_1_1_vasicek_1_1_dynamics.html#_details">More...</a><br></td></tr>
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