Standard Black-Karasinski model class. More...
#include <ql/models/shortrate/onefactormodels/blackkarasinski.hpp>
Inheritance diagram for BlackKarasinski: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) | |
| ext::shared_ptr< ShortRateDynamics > | dynamics () const |
| returns the short-rate dynamics | |
| ext::shared_ptr< Lattice > | tree (const TimeGrid &grid) const |
| Return by default a trinomial recombining tree. | |
Public Member Functions inherited from OneFactorModel | |
| OneFactorModel (Size nArguments) | |
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 TermStructureConsistentModel | |
| TermStructureConsistentModel (const Handle< YieldTermStructure > &termStructure) | |
| const Handle< YieldTermStructure > & | termStructure () const |
Additional Inherited Members | |
Public Types inherited from Observer | |
| typedef boost::unordered_set< ext::shared_ptr< Observable > > | set_type |
| typedef set_type::iterator | iterator |
Protected Member Functions inherited from CalibratedModel | |
| virtual void | generateArguments () |
Protected Attributes inherited from CalibratedModel | |
| std::vector< Parameter > | arguments_ |
| ext::shared_ptr< Constraint > | constraint_ |
| EndCriteria::Type | shortRateEndCriteria_ |
| Array | problemValues_ |
| Integer | functionEvaluation_ |
Standard Black-Karasinski model class.
This class implements the standard Black-Karasinski model defined by
\[ d\ln r_t = (\theta(t) - \alpha \ln r_t)dt + \sigma dW_t, \]
where \( alpha \) and \( sigma \) are constants.