- QuantLib
- BlackKarasinski
Standard Black-Karasinski model class. More...
#include <ql/models/shortrate/onefactormodels/blackkarasinski.hpp>

Classes | |
| class | Dynamics |
| Short-rate dynamics in the Black-Karasinski model. More... | |
Public Member Functions | |
| BlackKarasinski (const Handle< YieldTermStructure > &termStructure, Real a=0.1, Real sigma=0.1) | |
|
boost::shared_ptr < ShortRateDynamics > | dynamics () const |
| returns the short-rate dynamics | |
| boost::shared_ptr< Lattice > | tree (const TimeGrid &grid) const |
| Return by default a trinomial recombining tree. | |
Standard Black-Karasinski model class.
This class implements the standard Black-Karasinski model defined by
where
and
are constants.