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Hull and White model for interest rates.
Collaboration diagram for Hull and White model for interest rates.:

Namespaces

 cfl::HullWhite
 Hull and White model for interest rates.
 

Classes

class  cfl::HullWhite::Data
 The parameters of Hull and White model. More...
 

Functions

InterestRateModel cfl::HullWhite::model (const Data &rData, double dInterval, double dQuality)
 
InterestRateModel cfl::HullWhite::model (const Data &rData, double dInterval, double dQuality, double dPathDependQuality)
 
InterestRateModel cfl::HullWhite::model (const Data &rData, double dInterval, const Brownian &rBrownian, const Approx &rApprox)
 
InterestRateModel cfl::HullWhite::model (const Data &rData, double dInterval, const Brownian &rBrownian, const Extended &rExtended)
 

Detailed Description

This module is dealing with the implementation of Hull and White model for interest rates. The Hull and White model is the most general one-factor model where forward prices of zero-coupon bonds are log normal under respective forward martingale measures. It belongs to the class of financial models where the main state process could be chosen to be a one-dimensional Brownian motion.

See also
cfl::InterestRateModel and cfl::Brownian.

Function Documentation

InterestRateModel cfl::HullWhite::model ( const Data rData,
double  dInterval,
double  dQuality 
)

Implements InterestRateModel as Hull and White model.

Parameters
rDataThe parameters of Hull and White model.
dIntervalThe interval of initial values for short-term interest rate.
dQualityThe trade-off between speed and accuracy.
Returns
InterestRateModel as Hull and White model.
InterestRateModel cfl::HullWhite::model ( const Data rData,
double  dInterval,
double  dQuality,
double  dPathDependQuality 
)

Implements InterestRateModel as Hull and White model.

Parameters
rDataThe parameters of Hull and White model.
dIntervalThe interval of initial values for short-term interest rate.
dQualityThe trade-off between speed and accuracy for pricing of standard derivatives.
dPathDependQualityThe trade-off between speed and accuracy for pricing of path-dependent derivatives.
Returns
InterestRateModel as Hull and White model.
InterestRateModel cfl::HullWhite::model ( const Data rData,
double  dInterval,
const Brownian rBrownian,
const Approx rApprox 
)

Implements InterestRateModel as Hull and White model.

Parameters
rDataThe parameters of Hull and White model.
dIntervalThe interval of initial values for short-term interest rate.
rBrownianImplementation of class Brownian. It is used to price standard derivatives.
rApproxImplementation of class Approx. This class is used in numerical implementation of path dependent derivatives.
Returns
InterestRateModel as Hull and White model.
InterestRateModel cfl::HullWhite::model ( const Data rData,
double  dInterval,
const Brownian rBrownian,
const Extended rExtended 
)

Implements InterestRateModel as Hull and White model.

Parameters
rDataThe parameters of Hull and White model.
dIntervalThe interval of initial values for short-term interest rate.
rBrownianImplementation of class Brownian. It is used to price standard derivatives.
rExtendedImplementation of class Extended. This class is used in numerical implementation of path dependent derivatives.
Returns
InterestRateModel as Hull and White model.