1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
36
37
38
39
40
41
42
43
44
45
46
47
48
49
50
51
52
53
54
55
56
57
58
59
60
61
62
63
64
65
66
67
68
69
70
71
72
73
74
75
76
77
78
79
80
81
82
83
84
85
86
87
88
89
90
91
92
93
94
95
96
97
98
99
100
101
102
103
104
105
106
107
108
109
110
111
112
113
114
115
116
117
118
119
120
121
122
123
124
125
126
127
128
129
130
131
132
133
134
135
136
137
138
139
140
141
142
143
144
145
146
147
148
149
150
151
152
153
154
155
156
157
|
<!DOCTYPE HTML PUBLIC "-//W3C//DTD HTML 4.01 Transitional//EN">
<html>
<head>
<meta http-equiv="Content-Type" content="text/html;charset=UTF-8">
<meta name="robots" content="none">
<title>Vasicek Class Reference</title>
<link rel="stylesheet" href="quantlib.css" type="text/css">
<link rel="stylesheet" href="print.css" type="text/css" media="print">
<link rel="shortcut icon" href="favicon.ico" type="image/x-icon">
<link rel="icon" href="favicon.ico" type="image/x-icon">
</head>
<body>
<div id="container">
<div id="header">
<img class="titleimage"
src="QL-title.jpg" width="185" height="50" border="0"
alt="QuantLib">
<br>
<h3 class="subtitle">A free/open-source library for quantitative finance</h3>
</div>
<div id="menu">
<h3 class="navbartitle">Version 1.2</h3>
<hr>
<h3 class="navbartitle">Getting started</h3>
<ul class="navbarlist">
<li class="navlink"><a href="index.html">Introduction</a></li>
<li class="navlink"><a href="where.html">Where to get QuantLib</a></li>
<li class="navlink"><a href="install.html">Installation</a></li>
<li class="navlink"><a href="config.html">Configuration</a></li>
<li class="navlink"><a href="usage.html">Usage</a></li>
<li class="navlink"><a href="history.html">Version history</a></li>
<li class="navlink"><a href="resources.html">Additional resources</a></li>
<li class="navlink"><a href="group.html">The QuantLib group</a></li>
<li class="navlink"><a href="license.html">Copyright and license</a></li>
</ul>
<hr>
<h3 class="navbartitle">Reference manual</h3>
<ul class="navbarlist">
<li class="navlink"><a href="modules.html">Modules</a></li>
<li class="navlink"><a href="hierarchy.html">Class Hierarchy</a></li>
<li class="navlink"><a href="annotated.html">Compound List</a></li>
<li class="navlink"><a href="files.html">File List</a></li>
<li class="navlink"><a href="functions.html">Compound Members</a></li>
<li class="navlink"><a href="globals.html">File Members</a></li>
<li class="navlink"><a href="todo.html">Todo List</a></li>
<li class="navlink"><a href="bug.html">Known Bugs</a></li>
<li class="navlink"><a href="caveats.html">Caveats</a></li>
<li class="navlink"><a href="test.html">Test Suite</a></li>
<li class="navlink"><a href="examples.html">Examples</a></li>
</ul>
</div>
<div id="content">
<!--Doxygen-generated content-->
<!-- Generated by Doxygen 1.7.6.1 -->
<div id="nav-path" class="navpath">
<ul>
<li class="navelem"><b>QuantLib</b> </li>
<li class="navelem"><a class="el" href="class_quant_lib_1_1_vasicek.html">Vasicek</a> </li>
</ul>
</div>
</div>
<div class="header">
<div class="summary">
<a href="#nested-classes">Classes</a> |
<a href="#pub-methods">Public Member Functions</a> |
<a href="#pro-methods">Protected Member Functions</a> |
<a href="#pro-attribs">Protected Attributes</a> </div>
<div class="headertitle">
<div class="title">Vasicek Class Reference<div class="ingroups"><a class="el" href="group__shortrate.html">Short-rate modelling framework</a></div></div> </div>
</div><!--header-->
<div class="contents">
<!-- doxytag: class="QuantLib::Vasicek" --><!-- doxytag: inherits="QuantLib::OneFactorAffineModel" -->
<p>Vasicek model class
<a href="class_quant_lib_1_1_vasicek.html#details">More...</a></p>
<p><code>#include <ql/models/shortrate/onefactormodels/vasicek.hpp></code></p>
<div class="dynheader">
Inheritance diagram for Vasicek:</div>
<div class="dyncontent">
<div class="center"><img src="class_quant_lib_1_1_vasicek__inherit__graph.png" border="0" usemap="#_vasicek_inherit__map" alt="Inheritance graph"/></div>
<map name="_vasicek_inherit__map" id="_vasicek_inherit__map">
<area shape="rect" id="node5" href="class_quant_lib_1_1_hull_white.html" title="Single-factor Hull-White (extended Vasicek) model class." alt="" coords="41,166,119,197"/><area shape="rect" id="node2" href="class_quant_lib_1_1_one_factor_affine_model.html" title="Single-factor affine base class." alt="" coords="5,6,155,37"/></map>
<center><span class="legend">[<a href="graph_legend.html">legend</a>]</span></center></div>
<p><a href="class_quant_lib_1_1_vasicek-members.html">List of all members.</a></p>
<table class="memberdecls">
<tr><td colspan="2"><h2><a name="nested-classes"></a>
Classes</h2></td></tr>
<tr><td class="memItemLeft" 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>
<tr><td colspan="2"><h2><a name="pub-methods"></a>
Public Member Functions</h2></td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="ad3ace61536533987a5945b8f640b56ba"></a><!-- doxytag: member="QuantLib::Vasicek::Vasicek" ref="ad3ace61536533987a5945b8f640b56ba" 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#gaede435af51236692b1107d7639581d39">Rate</a> r0=0.05, <a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> a=0.1, <a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> b=0.05, <a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> sigma=0.01, <a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> lambda=0.0)</td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a7c92e4a748c8ff38b33f1460ee56dceb"></a><!-- doxytag: member="QuantLib::Vasicek::discountBondOption" ref="a7c92e4a748c8ff38b33f1460ee56dceb" args="(Option::Type type, Real strike, Time maturity, Time bondMaturity) const " -->
virtual <a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> </td><td class="memItemRight" valign="bottom"><b>discountBondOption</b> (Option::Type type, <a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> strike, <a class="el" href="group__types.html#ga14fb8fca43a68f4168654e1f9f7e22f7">Time</a> maturity, <a class="el" href="group__types.html#ga14fb8fca43a68f4168654e1f9f7e22f7">Time</a> bondMaturity) const </td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="ab819304423e7791547c3089322a190be"></a><!-- doxytag: member="QuantLib::Vasicek::dynamics" ref="ab819304423e7791547c3089322a190be" args="() const " -->
virtual boost::shared_ptr<br class="typebreak"/>
< <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#ab819304423e7791547c3089322a190be">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"><h2><a name="pro-methods"></a>
Protected Member Functions</h2></td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="acc2599494b8b8a5d2dc1413f4c438aa2"></a><!-- doxytag: member="QuantLib::Vasicek::A" ref="acc2599494b8b8a5d2dc1413f4c438aa2" args="(Time t, Time T) const " -->
virtual <a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> </td><td class="memItemRight" valign="bottom"><b>A</b> (<a class="el" href="group__types.html#ga14fb8fca43a68f4168654e1f9f7e22f7">Time</a> t, <a class="el" href="group__types.html#ga14fb8fca43a68f4168654e1f9f7e22f7">Time</a> T) const </td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="ab9dc25c5b0470f0c58aa93e4a96341ab"></a><!-- doxytag: member="QuantLib::Vasicek::B" ref="ab9dc25c5b0470f0c58aa93e4a96341ab" args="(Time t, Time T) const " -->
virtual <a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> </td><td class="memItemRight" valign="bottom"><b>B</b> (<a class="el" href="group__types.html#ga14fb8fca43a68f4168654e1f9f7e22f7">Time</a> t, <a class="el" href="group__types.html#ga14fb8fca43a68f4168654e1f9f7e22f7">Time</a> T) const </td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="aeb6c2cfe0928889369fc49347418ce31"></a><!-- doxytag: member="QuantLib::Vasicek::a" ref="aeb6c2cfe0928889369fc49347418ce31" args="() const " -->
<a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> </td><td class="memItemRight" valign="bottom"><b>a</b> () const </td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="ad1cf85afbb81add225d9d591923cae35"></a><!-- doxytag: member="QuantLib::Vasicek::b" ref="ad1cf85afbb81add225d9d591923cae35" args="() const " -->
<a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> </td><td class="memItemRight" valign="bottom"><b>b</b> () const </td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a24cb1182953e872918829ca60b348e54"></a><!-- doxytag: member="QuantLib::Vasicek::lambda" ref="a24cb1182953e872918829ca60b348e54" args="() const " -->
<a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> </td><td class="memItemRight" valign="bottom"><b>lambda</b> () const </td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a78bca11664a7d403bde6a9842f72ae61"></a><!-- doxytag: member="QuantLib::Vasicek::sigma" ref="a78bca11664a7d403bde6a9842f72ae61" args="() const " -->
<a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> </td><td class="memItemRight" valign="bottom"><b>sigma</b> () const </td></tr>
<tr><td colspan="2"><h2><a name="pro-attribs"></a>
Protected Attributes</h2></td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a21cb0313d759e9d26706f81f8a17d98c"></a><!-- doxytag: member="QuantLib::Vasicek::r0_" ref="a21cb0313d759e9d26706f81f8a17d98c" args="" -->
<a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> </td><td class="memItemRight" valign="bottom"><b>r0_</b></td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="ad4439c51d60a45db28cbc47843a73171"></a><!-- doxytag: member="QuantLib::Vasicek::a_" ref="ad4439c51d60a45db28cbc47843a73171" 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" align="right" valign="top"><a class="anchor" id="a11a47769611407b76d3b56ec19497841"></a><!-- doxytag: member="QuantLib::Vasicek::b_" ref="a11a47769611407b76d3b56ec19497841" 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" align="right" valign="top"><a class="anchor" id="a070a7d50740ec1a9a7cab8de7a5bed62"></a><!-- doxytag: member="QuantLib::Vasicek::sigma_" ref="a070a7d50740ec1a9a7cab8de7a5bed62" 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" align="right" valign="top"><a class="anchor" id="a145abe699377e7ed7e4be80259b3cc49"></a><!-- doxytag: member="QuantLib::Vasicek::lambda_" ref="a145abe699377e7ed7e4be80259b3cc49" 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>
</table>
<hr/><a name="details" id="details"></a><h2>Detailed Description</h2>
<div class="textblock"><p>Vasicek model class </p>
<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>
<p class="formulaDsp">
<img class="formulaDsp" alt="\[ dr_t = a(b - r_t)dt + \sigma dW_t , \]" src="form_307.png"/>
</p>
<p> where <img class="formulaInl" alt="$ a $" src="form_47.png"/>, <img class="formulaInl" alt="$ b $" src="form_48.png"/> and <img class="formulaInl" alt="$ \sigma $" src="form_4.png"/> are constants; a risk premium <img class="formulaInl" alt="$ \lambda $" src="form_29.png"/> can also be specified. </p>
</div></div><!-- contents -->
</div>
<div class="footer">
<div class="endmatter">
Documentation generated by
<a href="http://www.doxygen.org">Doxygen</a> 1.7.6.1
</div>
</div>
</div>
</body>
</html>
|
