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InterestRateModel | cfl::HullWhite::model (const Data &rData, double dInterval, double dQuality) |
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InterestRateModel | cfl::HullWhite::model (const Data &rData, double dInterval, double dQuality, double dPathDependQuality) |
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InterestRateModel | cfl::HullWhite::model (const Data &rData, double dInterval, const Brownian &rBrownian, const Approx &rApprox) |
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InterestRateModel | cfl::HullWhite::model (const Data &rData, double dInterval, const Brownian &rBrownian, const Extended &rExtended) |
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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.
InterestRateModel cfl::HullWhite::model |
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const Data & |
rData, |
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double |
dInterval, |
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double |
dQuality |
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) |
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Implements InterestRateModel as Hull and White model.
- Parameters
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rData | The parameters of Hull and White model. |
dInterval | The interval of initial values for short-term interest rate. |
dQuality | The trade-off between speed and accuracy. |
- Returns
- InterestRateModel as Hull and White model.
InterestRateModel cfl::HullWhite::model |
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const Data & |
rData, |
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double |
dInterval, |
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double |
dQuality, |
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double |
dPathDependQuality |
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) |
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Implements InterestRateModel as Hull and White model.
- Parameters
-
rData | The parameters of Hull and White model. |
dInterval | The interval of initial values for short-term interest rate. |
dQuality | The trade-off between speed and accuracy for pricing of standard derivatives. |
dPathDependQuality | The trade-off between speed and accuracy for pricing of path-dependent derivatives. |
- Returns
- InterestRateModel as Hull and White model.
InterestRateModel cfl::HullWhite::model |
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const Data & |
rData, |
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double |
dInterval, |
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const Brownian & |
rBrownian, |
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const Approx & |
rApprox |
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) |
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Implements InterestRateModel as Hull and White model.
- Parameters
-
rData | The parameters of Hull and White model. |
dInterval | The interval of initial values for short-term interest rate. |
rBrownian | Implementation of class Brownian. It is used to price standard derivatives. |
rApprox | Implementation 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, |
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double |
dInterval, |
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const Brownian & |
rBrownian, |
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const Extended & |
rExtended |
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) |
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Implements InterestRateModel as Hull and White model.
- Parameters
-
rData | The parameters of Hull and White model. |
dInterval | The interval of initial values for short-term interest rate. |
rBrownian | Implementation of class Brownian. It is used to price standard derivatives. |
rExtended | Implementation of class Extended. This class is used in numerical implementation of path dependent derivatives. |
- Returns
- InterestRateModel as Hull and White model.