The parameters of Hull and White model.
More...
#include <cfl/HullWhiteData.hpp>
This class defines the parameters of the Hull and White model. The set of parameters consists of discount, shape, and volatility curves.
cfl::HullWhite::Data::Data |
( |
| ) |
|
|
inline |
cfl::HullWhite::Data::Data |
( |
const Function & |
rDiscount, |
|
|
const Function & |
rVolatility, |
|
|
const Function & |
rShape, |
|
|
double |
dInitialTime |
|
) |
| |
Constructs parameters of Hull and White model.
- Parameters
-
rDiscount | A discount curve. |
rVolatility | A volatility curve for the factor process. |
rShape | A shape function. This function defines the shape of changes in discount or yield curves. |
dInitialTime | Initial time given as year fraction. |
cfl::HullWhite::Data::Data |
( |
const Function & |
rDiscount, |
|
|
double |
dSigma, |
|
|
double |
dLambda, |
|
|
double |
dInitialTime |
|
) |
| |
Constructs parameters of Hull and White model with stationary volatility curve.
- Parameters
-
rDiscount | A discount curve. |
dSigma | The volatility of short-term interest rate. |
dLambda | The mean-reversion coefficient of short-term interest rate under the money market martingale measure. |
dInitialTime | Initial time given as year fraction. |
const Function& cfl::HullWhite::Data::discount |
( |
| ) |
const |
Accessor function to discount curve.
- Returns
- The discount curve.
double cfl::HullWhite::Data::initialTime |
( |
| ) |
const |
Accessor function to the initial time.
- Returns
- The initial time as year fraction.
const Function& cfl::HullWhite::Data::shape |
( |
| ) |
const |
Accessor function to "shape" curve.
- Returns
- The shape function. This function defines the shape of changes in discount or yield curves.
const Function& cfl::HullWhite::Data::volatility |
( |
| ) |
const |
Accessor function to volatility curve.
- Returns
- The volatility curve for the state process.
The documentation for this class was generated from the following file: