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<div id="projectbrief">A free/open-source library for quantitative finance</div>
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<li class="navelem"><a class="el" href="namespace_quant_lib.html">QuantLib</a></li><li class="navelem"><a class="el" href="class_quant_lib_1_1_hull_white.html">HullWhite</a></li> </ul>
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<div class="header">
<div class="summary">
<a href="#nested-classes">Classes</a> |
<a href="#pub-methods">Public Member Functions</a> |
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<a href="#pro-methods">Protected Member Functions</a> |
<a href="class_quant_lib_1_1_hull_white-members.html">List of all members</a> </div>
<div class="headertitle">
<div class="title">HullWhite Class Reference<div class="ingroups"><a class="el" href="group__shortrate.html">Short-rate modelling framework</a></div></div> </div>
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<p>Single-factor Hull-White (extended Vasicek) model class.
<a href="class_quant_lib_1_1_hull_white.html#details">More...</a></p>
<p><code>#include <ql/models/shortrate/onefactormodels/hullwhite.hpp></code></p>
<div id="dynsection-0" onclick="return toggleVisibility(this)" class="dynheader closed" style="cursor:pointer;">
<img id="dynsection-0-trigger" src="closed.png" alt="+"/> Inheritance diagram for HullWhite:</div>
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Classes</h2></td></tr>
<tr class="memitem:"><td class="memItemLeft" align="right" valign="top">class  </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_hull_white_1_1_dynamics.html">Dynamics</a></td></tr>
<tr class="memdesc:"><td class="mdescLeft"> </td><td class="mdescRight">Short-rate dynamics in the Hull-White model. <a href="class_quant_lib_1_1_hull_white_1_1_dynamics.html#details">More...</a><br /></td></tr>
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<tr class="memitem:"><td class="memItemLeft" align="right" valign="top">class  </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_hull_white_1_1_fitting_parameter.html">FittingParameter</a></td></tr>
<tr class="memdesc:"><td class="mdescLeft"> </td><td class="mdescRight">Analytical term-structure fitting parameter \( \varphi(t) \). <a href="class_quant_lib_1_1_hull_white_1_1_fitting_parameter.html#details">More...</a><br /></td></tr>
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</table><table class="memberdecls">
<tr class="heading"><td colspan="2"><h2 class="groupheader"><a name="pub-methods"></a>
Public Member Functions</h2></td></tr>
<tr class="memitem:a5a576c1761c7ea4da9bb03a78b7ad5d5"><td class="memItemLeft" align="right" valign="top"><a id="a5a576c1761c7ea4da9bb03a78b7ad5d5"></a>
 </td><td class="memItemRight" valign="bottom"><b>HullWhite</b> (const <a class="el" href="class_quant_lib_1_1_handle.html">Handle</a>< <a class="el" href="class_quant_lib_1_1_yield_term_structure.html">YieldTermStructure</a> > &termStructure, <a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> a=0.1, <a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> sigma=0.01)</td></tr>
<tr class="separator:a5a576c1761c7ea4da9bb03a78b7ad5d5"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:adb779c340f1abe6ecd52a7788d85eb38"><td class="memItemLeft" align="right" valign="top"><a id="adb779c340f1abe6ecd52a7788d85eb38"></a>
ext::shared_ptr< <a class="el" href="class_quant_lib_1_1_lattice.html">Lattice</a> > </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_hull_white.html#adb779c340f1abe6ecd52a7788d85eb38">tree</a> (const <a class="el" href="class_quant_lib_1_1_time_grid.html">TimeGrid</a> &grid) const</td></tr>
<tr class="memdesc:adb779c340f1abe6ecd52a7788d85eb38"><td class="mdescLeft"> </td><td class="mdescRight">Return by default a trinomial recombining tree. <br /></td></tr>
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<tr class="memitem:aa7a5bc2d8c0fa8544142f51f2281bb31"><td class="memItemLeft" align="right" valign="top"><a id="aa7a5bc2d8c0fa8544142f51f2281bb31"></a>
ext::shared_ptr< <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_hull_white.html#aa7a5bc2d8c0fa8544142f51f2281bb31">dynamics</a> () const</td></tr>
<tr class="memdesc:aa7a5bc2d8c0fa8544142f51f2281bb31"><td class="mdescLeft"> </td><td class="mdescRight">returns the short-rate dynamics <br /></td></tr>
<tr class="separator:aa7a5bc2d8c0fa8544142f51f2281bb31"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:aa464aed598619815346c0d08cf2c7ccd"><td class="memItemLeft" align="right" valign="top"><a id="aa464aed598619815346c0d08cf2c7ccd"></a>
<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 class="separator:aa464aed598619815346c0d08cf2c7ccd"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:a56610b6dae683bf89489bbf516d2652d"><td class="memItemLeft" align="right" valign="top"><a id="a56610b6dae683bf89489bbf516d2652d"></a>
<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> bondStart, <a class="el" href="group__types.html#ga14fb8fca43a68f4168654e1f9f7e22f7">Time</a> bondMaturity) const</td></tr>
<tr class="separator:a56610b6dae683bf89489bbf516d2652d"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="inherit_header pub_methods_class_quant_lib_1_1_vasicek"><td colspan="2" onclick="javascript:toggleInherit('pub_methods_class_quant_lib_1_1_vasicek')"><img src="closed.png" alt="-"/> Public Member Functions inherited from <a class="el" href="class_quant_lib_1_1_vasicek.html">Vasicek</a></td></tr>
<tr class="memitem:ad3ace61536533987a5945b8f640b56ba inherit pub_methods_class_quant_lib_1_1_vasicek"><td class="memItemLeft" align="right" valign="top"><a id="ad3ace61536533987a5945b8f640b56ba"></a>
 </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 class="separator:ad3ace61536533987a5945b8f640b56ba inherit pub_methods_class_quant_lib_1_1_vasicek"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:a962375e1380660f0a2fe72e737e3950b inherit pub_methods_class_quant_lib_1_1_vasicek"><td class="memItemLeft" align="right" valign="top"><a id="a962375e1380660f0a2fe72e737e3950b"></a>
<a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> </td><td class="memItemRight" valign="bottom"><b>a</b> () const</td></tr>
<tr class="separator:a962375e1380660f0a2fe72e737e3950b inherit pub_methods_class_quant_lib_1_1_vasicek"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:a3bb198a929fb62eabaf6b36385eb2416 inherit pub_methods_class_quant_lib_1_1_vasicek"><td class="memItemLeft" align="right" valign="top"><a id="a3bb198a929fb62eabaf6b36385eb2416"></a>
<a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> </td><td class="memItemRight" valign="bottom"><b>b</b> () const</td></tr>
<tr class="separator:a3bb198a929fb62eabaf6b36385eb2416 inherit pub_methods_class_quant_lib_1_1_vasicek"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:a48c08d33f44bbcf1116a2e8750feddf1 inherit pub_methods_class_quant_lib_1_1_vasicek"><td class="memItemLeft" align="right" valign="top"><a id="a48c08d33f44bbcf1116a2e8750feddf1"></a>
<a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> </td><td class="memItemRight" valign="bottom"><b>lambda</b> () const</td></tr>
<tr class="separator:a48c08d33f44bbcf1116a2e8750feddf1 inherit pub_methods_class_quant_lib_1_1_vasicek"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:a3bf7456c7feee4fc5c40c1ea775619de inherit pub_methods_class_quant_lib_1_1_vasicek"><td class="memItemLeft" align="right" valign="top"><a id="a3bf7456c7feee4fc5c40c1ea775619de"></a>
<a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> </td><td class="memItemRight" valign="bottom"><b>sigma</b> () const</td></tr>
<tr class="separator:a3bf7456c7feee4fc5c40c1ea775619de inherit pub_methods_class_quant_lib_1_1_vasicek"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:ae05d4ff261c06a20742229c3f516a04b inherit pub_methods_class_quant_lib_1_1_vasicek"><td class="memItemLeft" align="right" valign="top"><a id="ae05d4ff261c06a20742229c3f516a04b"></a>
<a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> </td><td class="memItemRight" valign="bottom"><b>r0</b> () const</td></tr>
<tr class="separator:ae05d4ff261c06a20742229c3f516a04b inherit pub_methods_class_quant_lib_1_1_vasicek"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="inherit_header pub_methods_class_quant_lib_1_1_one_factor_affine_model"><td colspan="2" onclick="javascript:toggleInherit('pub_methods_class_quant_lib_1_1_one_factor_affine_model')"><img src="closed.png" alt="-"/> Public Member Functions inherited from <a class="el" href="class_quant_lib_1_1_one_factor_affine_model.html">OneFactorAffineModel</a></td></tr>
<tr class="memitem:a7ba76488a8dafa032560538843a5737f inherit pub_methods_class_quant_lib_1_1_one_factor_affine_model"><td class="memItemLeft" align="right" valign="top"><a id="a7ba76488a8dafa032560538843a5737f"></a>
 </td><td class="memItemRight" valign="bottom"><b>OneFactorAffineModel</b> (<a class="el" href="group__types.html#gaf38bdb4c54463b1f456655efa95b5c77">Size</a> nArguments)</td></tr>
<tr class="separator:a7ba76488a8dafa032560538843a5737f inherit pub_methods_class_quant_lib_1_1_one_factor_affine_model"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:a28b8fe8e1849a874ebb63691d20b72df inherit pub_methods_class_quant_lib_1_1_one_factor_affine_model"><td class="memItemLeft" align="right" valign="top"><a id="a28b8fe8e1849a874ebb63691d20b72df"></a>
virtual <a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> </td><td class="memItemRight" valign="bottom"><b>discountBond</b> (<a class="el" href="group__types.html#ga14fb8fca43a68f4168654e1f9f7e22f7">Time</a> now, <a class="el" href="group__types.html#ga14fb8fca43a68f4168654e1f9f7e22f7">Time</a> maturity, <a class="el" href="class_quant_lib_1_1_array.html">Array</a> factors) const</td></tr>
<tr class="separator:a28b8fe8e1849a874ebb63691d20b72df inherit pub_methods_class_quant_lib_1_1_one_factor_affine_model"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:aa197593574e9905998cee94adc4aa34f inherit pub_methods_class_quant_lib_1_1_one_factor_affine_model"><td class="memItemLeft" align="right" valign="top"><a id="aa197593574e9905998cee94adc4aa34f"></a>
<a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> </td><td class="memItemRight" valign="bottom"><b>discountBond</b> (<a class="el" href="group__types.html#ga14fb8fca43a68f4168654e1f9f7e22f7">Time</a> now, <a class="el" href="group__types.html#ga14fb8fca43a68f4168654e1f9f7e22f7">Time</a> maturity, <a class="el" href="group__types.html#gaede435af51236692b1107d7639581d39">Rate</a> rate) const</td></tr>
<tr class="separator:aa197593574e9905998cee94adc4aa34f inherit pub_methods_class_quant_lib_1_1_one_factor_affine_model"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:a69a7c0281cc05c0c70142afd62e7b0f1 inherit pub_methods_class_quant_lib_1_1_one_factor_affine_model"><td class="memItemLeft" align="right" valign="top"><a id="a69a7c0281cc05c0c70142afd62e7b0f1"></a>
<a class="el" href="group__types.html#ga642a971a0bcbbd2fb26c35e1a06e5761">DiscountFactor</a> </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_one_factor_affine_model.html#a69a7c0281cc05c0c70142afd62e7b0f1">discount</a> (<a class="el" href="group__types.html#ga14fb8fca43a68f4168654e1f9f7e22f7">Time</a> t) const</td></tr>
<tr class="memdesc:a69a7c0281cc05c0c70142afd62e7b0f1 inherit pub_methods_class_quant_lib_1_1_one_factor_affine_model"><td class="mdescLeft"> </td><td class="mdescRight">Implied discount curve. <br /></td></tr>
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<tr class="inherit_header pub_methods_class_quant_lib_1_1_one_factor_model"><td colspan="2" onclick="javascript:toggleInherit('pub_methods_class_quant_lib_1_1_one_factor_model')"><img src="closed.png" alt="-"/> Public Member Functions inherited from <a class="el" href="class_quant_lib_1_1_one_factor_model.html">OneFactorModel</a></td></tr>
<tr class="memitem:a9063908949ff755f1a8ac0562b05d6a0 inherit pub_methods_class_quant_lib_1_1_one_factor_model"><td class="memItemLeft" align="right" valign="top"><a id="a9063908949ff755f1a8ac0562b05d6a0"></a>
 </td><td class="memItemRight" valign="bottom"><b>OneFactorModel</b> (<a class="el" href="group__types.html#gaf38bdb4c54463b1f456655efa95b5c77">Size</a> nArguments)</td></tr>
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<tr class="inherit_header pub_methods_class_quant_lib_1_1_short_rate_model"><td colspan="2" onclick="javascript:toggleInherit('pub_methods_class_quant_lib_1_1_short_rate_model')"><img src="closed.png" alt="-"/> Public Member Functions inherited from <a class="el" href="class_quant_lib_1_1_short_rate_model.html">ShortRateModel</a></td></tr>
<tr class="memitem:acd870a956670fdf361759405e3d2e5eb inherit pub_methods_class_quant_lib_1_1_short_rate_model"><td class="memItemLeft" align="right" valign="top"><a id="acd870a956670fdf361759405e3d2e5eb"></a>
 </td><td class="memItemRight" valign="bottom"><b>ShortRateModel</b> (<a class="el" href="group__types.html#gaf38bdb4c54463b1f456655efa95b5c77">Size</a> nArguments)</td></tr>
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<tr class="inherit_header pub_methods_class_quant_lib_1_1_calibrated_model"><td colspan="2" onclick="javascript:toggleInherit('pub_methods_class_quant_lib_1_1_calibrated_model')"><img src="closed.png" alt="-"/> Public Member Functions inherited from <a class="el" href="class_quant_lib_1_1_calibrated_model.html">CalibratedModel</a></td></tr>
<tr class="memitem:ab43067bd779206b1a734151bd62e9c5f inherit pub_methods_class_quant_lib_1_1_calibrated_model"><td class="memItemLeft" align="right" valign="top"><a id="ab43067bd779206b1a734151bd62e9c5f"></a>
 </td><td class="memItemRight" valign="bottom"><b>CalibratedModel</b> (<a class="el" href="group__types.html#gaf38bdb4c54463b1f456655efa95b5c77">Size</a> nArguments)</td></tr>
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<tr class="memitem:ac5c54df7ed3b930268c8d7752c101725 inherit pub_methods_class_quant_lib_1_1_calibrated_model"><td class="memItemLeft" align="right" valign="top">void </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_calibrated_model.html#ac5c54df7ed3b930268c8d7752c101725">update</a> ()</td></tr>
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<tr class="memitem:a2c63b37e0303ef53a2b4aabdf30f6616 inherit pub_methods_class_quant_lib_1_1_calibrated_model"><td class="memItemLeft" align="right" valign="top">virtual void </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_calibrated_model.html#a2c63b37e0303ef53a2b4aabdf30f6616">calibrate</a> (const std::vector< ext::shared_ptr< <a class="el" href="class_quant_lib_1_1_calibration_helper.html">CalibrationHelper</a> > > &, <a class="el" href="class_quant_lib_1_1_optimization_method.html">OptimizationMethod</a> &method, const <a class="el" href="class_quant_lib_1_1_end_criteria.html">EndCriteria</a> &<a class="el" href="class_quant_lib_1_1_calibrated_model.html#a689f17edf70f02c42a061798e1344cc6">endCriteria</a>, const <a class="el" href="class_quant_lib_1_1_constraint.html">Constraint</a> &constraint=<a class="el" href="class_quant_lib_1_1_constraint.html">Constraint</a>(), const std::vector< <a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> > &weights=std::vector< <a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> >(), const std::vector< bool > &fixParameters=std::vector< bool >())</td></tr>
<tr class="memdesc:a2c63b37e0303ef53a2b4aabdf30f6616 inherit pub_methods_class_quant_lib_1_1_calibrated_model"><td class="mdescLeft"> </td><td class="mdescRight">Calibrate to a set of market instruments (usually caps/swaptions) <a href="class_quant_lib_1_1_calibrated_model.html#a2c63b37e0303ef53a2b4aabdf30f6616">More...</a><br /></td></tr>
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<tr class="memitem:ac664da62fe7dddfe57529764aaca5187 inherit pub_methods_class_quant_lib_1_1_calibrated_model"><td class="memItemLeft" align="right" valign="top">virtual QL_DEPRECATED void </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_calibrated_model.html#ac664da62fe7dddfe57529764aaca5187">calibrate</a> (const std::vector< ext::shared_ptr< <a class="el" href="class_quant_lib_1_1_black_calibration_helper.html">BlackCalibrationHelper</a> > > &, <a class="el" href="class_quant_lib_1_1_optimization_method.html">OptimizationMethod</a> &method, const <a class="el" href="class_quant_lib_1_1_end_criteria.html">EndCriteria</a> &<a class="el" href="class_quant_lib_1_1_calibrated_model.html#a689f17edf70f02c42a061798e1344cc6">endCriteria</a>, const <a class="el" href="class_quant_lib_1_1_constraint.html">Constraint</a> &constraint=<a class="el" href="class_quant_lib_1_1_constraint.html">Constraint</a>(), const std::vector< <a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> > &weights=std::vector< <a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> >(), const std::vector< bool > &fixParameters=std::vector< bool >())</td></tr>
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<a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> </td><td class="memItemRight" valign="bottom"><b>value</b> (const <a class="el" href="class_quant_lib_1_1_array.html">Array</a> &<a class="el" href="class_quant_lib_1_1_calibrated_model.html#ac8c77215168957e035ff1f8eba542910">params</a>, const std::vector< ext::shared_ptr< <a class="el" href="class_quant_lib_1_1_calibration_helper.html">CalibrationHelper</a> > > &)</td></tr>
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<tr class="memitem:ab6af309e095da49d254389268b488373 inherit pub_methods_class_quant_lib_1_1_calibrated_model"><td class="memItemLeft" align="right" valign="top">QL_DEPRECATED <a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_calibrated_model.html#ab6af309e095da49d254389268b488373">value</a> (const <a class="el" href="class_quant_lib_1_1_array.html">Array</a> &<a class="el" href="class_quant_lib_1_1_calibrated_model.html#ac8c77215168957e035ff1f8eba542910">params</a>, const std::vector< ext::shared_ptr< <a class="el" href="class_quant_lib_1_1_black_calibration_helper.html">BlackCalibrationHelper</a> > > &)</td></tr>
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const ext::shared_ptr< <a class="el" href="class_quant_lib_1_1_constraint.html">Constraint</a> > & </td><td class="memItemRight" valign="bottom"><b>constraint</b> () const</td></tr>
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EndCriteria::Type </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_calibrated_model.html#a689f17edf70f02c42a061798e1344cc6">endCriteria</a> () const</td></tr>
<tr class="memdesc:a689f17edf70f02c42a061798e1344cc6 inherit pub_methods_class_quant_lib_1_1_calibrated_model"><td class="mdescLeft"> </td><td class="mdescRight">Returns end criteria result. <br /></td></tr>
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const <a class="el" href="class_quant_lib_1_1_array.html">Array</a> & </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_calibrated_model.html#aacc31e5f4aa4d15a3f33fd81b916897a">problemValues</a> () const</td></tr>
<tr class="memdesc:aacc31e5f4aa4d15a3f33fd81b916897a inherit pub_methods_class_quant_lib_1_1_calibrated_model"><td class="mdescLeft"> </td><td class="mdescRight">Returns the problem values. <br /></td></tr>
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<a class="el" href="class_quant_lib_1_1_disposable.html">Disposable</a>< <a class="el" href="class_quant_lib_1_1_array.html">Array</a> > </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_calibrated_model.html#ac8c77215168957e035ff1f8eba542910">params</a> () const</td></tr>
<tr class="memdesc:ac8c77215168957e035ff1f8eba542910 inherit pub_methods_class_quant_lib_1_1_calibrated_model"><td class="mdescLeft"> </td><td class="mdescRight">Returns array of arguments on which calibration is done. <br /></td></tr>
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virtual void </td><td class="memItemRight" valign="bottom"><b>setParams</b> (const <a class="el" href="class_quant_lib_1_1_array.html">Array</a> &<a class="el" href="class_quant_lib_1_1_calibrated_model.html#ac8c77215168957e035ff1f8eba542910">params</a>)</td></tr>
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<a class="el" href="group__types.html#gab9c87440c314438e51a899a03d2442d0">Integer</a> </td><td class="memItemRight" valign="bottom"><b>functionEvaluation</b> () const</td></tr>
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<tr class="inherit_header pub_methods_class_quant_lib_1_1_observer"><td colspan="2" onclick="javascript:toggleInherit('pub_methods_class_quant_lib_1_1_observer')"><img src="closed.png" alt="-"/> Public Member Functions inherited from <a class="el" href="class_quant_lib_1_1_observer.html">Observer</a></td></tr>
<tr class="memitem:af6a9d3ca0b7f388f3b7ccb1eccf11f63 inherit pub_methods_class_quant_lib_1_1_observer"><td class="memItemLeft" align="right" valign="top"><a id="af6a9d3ca0b7f388f3b7ccb1eccf11f63"></a>
 </td><td class="memItemRight" valign="bottom"><b>Observer</b> (const <a class="el" href="class_quant_lib_1_1_observer.html">Observer</a> &)</td></tr>
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<a class="el" href="class_quant_lib_1_1_observer.html">Observer</a> & </td><td class="memItemRight" valign="bottom"><b>operator=</b> (const <a class="el" href="class_quant_lib_1_1_observer.html">Observer</a> &)</td></tr>
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std::pair< iterator, bool > </td><td class="memItemRight" valign="bottom"><b>registerWith</b> (const ext::shared_ptr< <a class="el" href="class_quant_lib_1_1_observable.html">Observable</a> > &)</td></tr>
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<tr class="memitem:a51d57eb97a3a57312a47bda29235f182 inherit pub_methods_class_quant_lib_1_1_observer"><td class="memItemLeft" align="right" valign="top">void </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_observer.html#a51d57eb97a3a57312a47bda29235f182">registerWithObservables</a> (const ext::shared_ptr< <a class="el" href="class_quant_lib_1_1_observer.html">Observer</a> > &)</td></tr>
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<a class="el" href="group__types.html#gaf38bdb4c54463b1f456655efa95b5c77">Size</a> </td><td class="memItemRight" valign="bottom"><b>unregisterWith</b> (const ext::shared_ptr< <a class="el" href="class_quant_lib_1_1_observable.html">Observable</a> > &)</td></tr>
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void </td><td class="memItemRight" valign="bottom"><b>unregisterWithAll</b> ()</td></tr>
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<tr class="memitem:a3d53f9669c128dadc74a5d044a7c8e68 inherit pub_methods_class_quant_lib_1_1_observer"><td class="memItemLeft" align="right" valign="top">virtual void </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_observer.html#a3d53f9669c128dadc74a5d044a7c8e68">deepUpdate</a> ()</td></tr>
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<tr class="inherit_header pub_methods_class_quant_lib_1_1_observable"><td colspan="2" onclick="javascript:toggleInherit('pub_methods_class_quant_lib_1_1_observable')"><img src="closed.png" alt="-"/> Public Member Functions inherited from <a class="el" href="class_quant_lib_1_1_observable.html">Observable</a></td></tr>
<tr class="memitem:a840dd96e33a304cbf681d357de7f48d0 inherit pub_methods_class_quant_lib_1_1_observable"><td class="memItemLeft" align="right" valign="top"><a id="a840dd96e33a304cbf681d357de7f48d0"></a>
 </td><td class="memItemRight" valign="bottom"><b>Observable</b> (const <a class="el" href="class_quant_lib_1_1_observable.html">Observable</a> &)</td></tr>
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<tr class="memitem:a522aacdd0f2408fe5e46527a6db999b4 inherit pub_methods_class_quant_lib_1_1_observable"><td class="memItemLeft" align="right" valign="top"><a class="el" href="class_quant_lib_1_1_observable.html">Observable</a> & </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_observable.html#a522aacdd0f2408fe5e46527a6db999b4">operator=</a> (const <a class="el" href="class_quant_lib_1_1_observable.html">Observable</a> &)</td></tr>
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<tr class="memitem:a397546715bfc5aedd1d16dd202a19d4c inherit pub_methods_class_quant_lib_1_1_observable"><td class="memItemLeft" align="right" valign="top">void </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_observable.html#a397546715bfc5aedd1d16dd202a19d4c">notifyObservers</a> ()</td></tr>
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<tr class="inherit_header pub_methods_class_quant_lib_1_1_term_structure_consistent_model"><td colspan="2" onclick="javascript:toggleInherit('pub_methods_class_quant_lib_1_1_term_structure_consistent_model')"><img src="closed.png" alt="-"/> Public Member Functions inherited from <a class="el" href="class_quant_lib_1_1_term_structure_consistent_model.html">TermStructureConsistentModel</a></td></tr>
<tr class="memitem:abc88328a9ce3013c5c8689ee87a0205c inherit pub_methods_class_quant_lib_1_1_term_structure_consistent_model"><td class="memItemLeft" align="right" valign="top"><a id="abc88328a9ce3013c5c8689ee87a0205c"></a>
 </td><td class="memItemRight" valign="bottom"><b>TermStructureConsistentModel</b> (const <a class="el" href="class_quant_lib_1_1_handle.html">Handle</a>< <a class="el" href="class_quant_lib_1_1_yield_term_structure.html">YieldTermStructure</a> > &termStructure)</td></tr>
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const <a class="el" href="class_quant_lib_1_1_handle.html">Handle</a>< <a class="el" href="class_quant_lib_1_1_yield_term_structure.html">YieldTermStructure</a> > & </td><td class="memItemRight" valign="bottom"><b>termStructure</b> () const</td></tr>
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<tr class="heading"><td colspan="2"><h2 class="groupheader"><a name="pub-static-methods"></a>
Static Public Member Functions</h2></td></tr>
<tr class="memitem:af554e020436a6a21568f1149d61e2f54"><td class="memItemLeft" align="right" valign="top">static <a class="el" href="group__types.html#gaede435af51236692b1107d7639581d39">Rate</a> </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_hull_white.html#af554e020436a6a21568f1149d61e2f54">convexityBias</a> (<a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> futurePrice, <a class="el" href="group__types.html#ga14fb8fca43a68f4168654e1f9f7e22f7">Time</a> t, <a class="el" href="group__types.html#ga14fb8fca43a68f4168654e1f9f7e22f7">Time</a> T, <a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> sigma, <a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> a)</td></tr>
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static std::vector< bool > </td><td class="memItemRight" valign="bottom"><b>FixedReversion</b> ()</td></tr>
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Protected Member Functions</h2></td></tr>
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void </td><td class="memItemRight" valign="bottom"><b>generateArguments</b> ()</td></tr>
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<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>
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<tr class="inherit_header pro_methods_class_quant_lib_1_1_vasicek"><td colspan="2" onclick="javascript:toggleInherit('pro_methods_class_quant_lib_1_1_vasicek')"><img src="closed.png" alt="-"/> Protected Member Functions inherited from <a class="el" href="class_quant_lib_1_1_vasicek.html">Vasicek</a></td></tr>
<tr class="memitem:ac418cd274327445c1f93af4c8dc1b1e0 inherit pro_methods_class_quant_lib_1_1_vasicek"><td class="memItemLeft" align="right" valign="top"><a id="ac418cd274327445c1f93af4c8dc1b1e0"></a>
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>
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<tr class="heading"><td colspan="2"><h2 class="groupheader"><a name="inherited"></a>
Additional Inherited Members</h2></td></tr>
<tr class="inherit_header pub_types_class_quant_lib_1_1_observer"><td colspan="2" onclick="javascript:toggleInherit('pub_types_class_quant_lib_1_1_observer')"><img src="closed.png" alt="-"/> Public Types inherited from <a class="el" href="class_quant_lib_1_1_observer.html">Observer</a></td></tr>
<tr class="memitem:a78de5f2b6bce96d718e3c18b9f52d67c inherit pub_types_class_quant_lib_1_1_observer"><td class="memItemLeft" align="right" valign="top"><a id="a78de5f2b6bce96d718e3c18b9f52d67c"></a>
typedef boost::unordered_set< ext::shared_ptr< <a class="el" href="class_quant_lib_1_1_observable.html">Observable</a> > > </td><td class="memItemRight" valign="bottom"><b>set_type</b></td></tr>
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<tr class="memitem:ae98429250f6997df7b87f4b37454609e inherit pub_types_class_quant_lib_1_1_observer"><td class="memItemLeft" align="right" valign="top"><a id="ae98429250f6997df7b87f4b37454609e"></a>
typedef set_type::iterator </td><td class="memItemRight" valign="bottom"><b>iterator</b></td></tr>
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<tr class="inherit_header pro_attribs_class_quant_lib_1_1_vasicek"><td colspan="2" onclick="javascript:toggleInherit('pro_attribs_class_quant_lib_1_1_vasicek')"><img src="closed.png" alt="-"/> Protected Attributes inherited from <a class="el" href="class_quant_lib_1_1_vasicek.html">Vasicek</a></td></tr>
<tr class="memitem:a21cb0313d759e9d26706f81f8a17d98c inherit pro_attribs_class_quant_lib_1_1_vasicek"><td class="memItemLeft" align="right" valign="top"><a id="a21cb0313d759e9d26706f81f8a17d98c"></a>
<a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> </td><td class="memItemRight" valign="bottom"><b>r0_</b></td></tr>
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<tr class="memitem:ad4439c51d60a45db28cbc47843a73171 inherit pro_attribs_class_quant_lib_1_1_vasicek"><td class="memItemLeft" align="right" valign="top"><a id="ad4439c51d60a45db28cbc47843a73171"></a>
<a class="el" href="class_quant_lib_1_1_parameter.html">Parameter</a> & </td><td class="memItemRight" valign="bottom"><b>a_</b></td></tr>
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<tr class="memitem:a11a47769611407b76d3b56ec19497841 inherit pro_attribs_class_quant_lib_1_1_vasicek"><td class="memItemLeft" align="right" valign="top"><a id="a11a47769611407b76d3b56ec19497841"></a>
<a class="el" href="class_quant_lib_1_1_parameter.html">Parameter</a> & </td><td class="memItemRight" valign="bottom"><b>b_</b></td></tr>
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<tr class="memitem:a070a7d50740ec1a9a7cab8de7a5bed62 inherit pro_attribs_class_quant_lib_1_1_vasicek"><td class="memItemLeft" align="right" valign="top"><a id="a070a7d50740ec1a9a7cab8de7a5bed62"></a>
<a class="el" href="class_quant_lib_1_1_parameter.html">Parameter</a> & </td><td class="memItemRight" valign="bottom"><b>sigma_</b></td></tr>
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<tr class="memitem:a145abe699377e7ed7e4be80259b3cc49 inherit pro_attribs_class_quant_lib_1_1_vasicek"><td class="memItemLeft" align="right" valign="top"><a id="a145abe699377e7ed7e4be80259b3cc49"></a>
<a class="el" href="class_quant_lib_1_1_parameter.html">Parameter</a> & </td><td class="memItemRight" valign="bottom"><b>lambda_</b></td></tr>
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<tr class="inherit_header pro_attribs_class_quant_lib_1_1_calibrated_model"><td colspan="2" onclick="javascript:toggleInherit('pro_attribs_class_quant_lib_1_1_calibrated_model')"><img src="closed.png" alt="-"/> Protected Attributes inherited from <a class="el" href="class_quant_lib_1_1_calibrated_model.html">CalibratedModel</a></td></tr>
<tr class="memitem:a8d6cb3b36a2e282c440aad042035196a inherit pro_attribs_class_quant_lib_1_1_calibrated_model"><td class="memItemLeft" align="right" valign="top"><a id="a8d6cb3b36a2e282c440aad042035196a"></a>
std::vector< <a class="el" href="class_quant_lib_1_1_parameter.html">Parameter</a> > </td><td class="memItemRight" valign="bottom"><b>arguments_</b></td></tr>
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<tr class="memitem:a885de9b9a245ad01bbf33f95d0d111da inherit pro_attribs_class_quant_lib_1_1_calibrated_model"><td class="memItemLeft" align="right" valign="top"><a id="a885de9b9a245ad01bbf33f95d0d111da"></a>
ext::shared_ptr< <a class="el" href="class_quant_lib_1_1_constraint.html">Constraint</a> > </td><td class="memItemRight" valign="bottom"><b>constraint_</b></td></tr>
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EndCriteria::Type </td><td class="memItemRight" valign="bottom"><b>shortRateEndCriteria_</b></td></tr>
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<a class="el" href="class_quant_lib_1_1_array.html">Array</a> </td><td class="memItemRight" valign="bottom"><b>problemValues_</b></td></tr>
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<tr class="memitem:a733c93ead43e5991f400c80708e828f7 inherit pro_attribs_class_quant_lib_1_1_calibrated_model"><td class="memItemLeft" align="right" valign="top"><a id="a733c93ead43e5991f400c80708e828f7"></a>
<a class="el" href="group__types.html#gab9c87440c314438e51a899a03d2442d0">Integer</a> </td><td class="memItemRight" valign="bottom"><b>functionEvaluation_</b></td></tr>
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<a name="details" id="details"></a><h2 class="groupheader">Detailed Description</h2>
<div class="textblock"><p>Single-factor Hull-White (extended Vasicek) model class. </p>
<p>This class implements the standard single-factor Hull-White model defined by </p><p class="formulaDsp">
\[ dr_t = (\theta(t) - \alpha r_t)dt + \sigma dW_t \]
</p>
<p> where \( \alpha \) and \( \sigma \) are constants.</p>
<dl class="test"><dt><b><a class="el" href="test.html#_test000090">Tests:</a></b></dt><dd>calibration results are tested against cached values</dd></dl>
<dl class="bug"><dt><b><a class="el" href="bug.html#_bug000007">Bug:</a></b></dt><dd>When the term structure is relinked, the r0 parameter of the underlying <a class="el" href="class_quant_lib_1_1_vasicek.html" title="Vasicek model class">Vasicek</a> model is not updated.</dd></dl>
<dl class="section examples"><dt>Examples</dt><dd><a class="el" href="_bermudan_swaption_8cpp-example.html#_a30">BermudanSwaption.cpp</a>, and <a class="el" href="_callable_bonds_8cpp-example.html#_a22">CallableBonds.cpp</a>.</dd>
</dl>
</div><h2 class="groupheader">Member Function Documentation</h2>
<a id="af554e020436a6a21568f1149d61e2f54"></a>
<h2 class="memtitle"><span class="permalink"><a href="#af554e020436a6a21568f1149d61e2f54">◆ </a></span>convexityBias()</h2>
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<td class="memname">static <a class="el" href="group__types.html#gaede435af51236692b1107d7639581d39">Rate</a> convexityBias </td>
<td>(</td>
<td class="paramtype"><a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> </td>
<td class="paramname"><em>futurePrice</em>, </td>
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<td class="paramtype"><a class="el" href="group__types.html#ga14fb8fca43a68f4168654e1f9f7e22f7">Time</a> </td>
<td class="paramname"><em>t</em>, </td>
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<td class="paramkey"></td>
<td></td>
<td class="paramtype"><a class="el" href="group__types.html#ga14fb8fca43a68f4168654e1f9f7e22f7">Time</a> </td>
<td class="paramname"><em>T</em>, </td>
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<td class="paramkey"></td>
<td></td>
<td class="paramtype"><a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> </td>
<td class="paramname"><em>sigma</em>, </td>
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<td class="paramtype"><a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> </td>
<td class="paramname"><em>a</em> </td>
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<td>)</td>
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<p>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.</p>
<dl class="section note"><dt>Note</dt><dd>t and T should be expressed in yearfraction using deposit day counter, F_quoted is futures' market price. </dd></dl>
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