CFL
Public Member Functions | List of all members

The parameters of Hull and White model. More...

#include <cfl/HullWhiteData.hpp>

Public Member Functions

 Data ()
 
 Data (const Function &rDiscount, const Function &rVolatility, const Function &rShape, double dInitialTime)
 
 Data (const Function &rDiscount, double dSigma, double dLambda, double dInitialTime)
 
const Functiondiscount () const
 
double initialTime () const
 
const Functionshape () const
 
const Functionvolatility () const
 

Detailed Description

This class defines the parameters of the Hull and White model. The set of parameters consists of discount, shape, and volatility curves.

Constructor & Destructor Documentation

cfl::HullWhite::Data::Data ( )
inline

Default constructor.

cfl::HullWhite::Data::Data ( const Function rDiscount,
const Function rVolatility,
const Function rShape,
double  dInitialTime 
)

Constructs parameters of Hull and White model.

Parameters
rDiscountA discount curve.
rVolatilityA volatility curve for the factor process.
rShapeA shape function. This function defines the shape of changes in discount or yield curves.
dInitialTimeInitial 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
rDiscountA discount curve.
dSigmaThe volatility of short-term interest rate.
dLambdaThe mean-reversion coefficient of short-term interest rate under the money market martingale measure.
dInitialTimeInitial time given as year fraction.

Member Function Documentation

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: