org.jquantlib.model.shortrate.onefactormodels

Class BlackKarasinski

java.lang.Object

org.jquantlib.model.CalibratedModel

org.jquantlib.model.shortrate.ShortRateModel

org.jquantlib.model.shortrate.onefactormodels.OneFactorModel

org.jquantlib.model.shortrate.onefactormodels.BlackKarasinski

All Implemented Interfaces:

TermStructureConsistentModel, Observable, Observer

public class BlackKarasinski
extends OneFactorModel
implements TermStructureConsistentModel

Standard Black-Karasinski model class.

This class implements the standard Black-Karasinski model defined by where and are constants.

Constructor Summary

Constructors

Constructor and Description
BlackKarasinski(Handle<YieldTermStructure> termStructure)
BlackKarasinski(Handle<YieldTermStructure> termStructure, double a, double sigma)

Method Summary

Modifier and Type	Method and Description
double	a()
org.jquantlib.model.shortrate.onefactormodels.OneFactorModel.ShortRateDynamics	dynamics() Returns the short-rate dynamics
double	sigma()
Handle<YieldTermStructure>	termStructure()
Lattice	tree(TimeGrid grid) Return by default a trinomial recombining tree.

Methods inherited from class org.jquantlib.model.CalibratedModel

addObserver, calibrate, constraint, countObservers, deleteObserver, deleteObservers, endCriteria, getObservers, notifyObservers, notifyObservers, params, setParams, update, value

Methods inherited from class java.lang.Object

equals, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait

Methods inherited from interface org.jquantlib.util.Observable

addObserver, countObservers, deleteObserver, deleteObservers, getObservers, notifyObservers, notifyObservers

Constructor Detail

BlackKarasinski

public BlackKarasinski(Handle<YieldTermStructure> termStructure)

BlackKarasinski

public BlackKarasinski(Handle<YieldTermStructure> termStructure,
                       double a,
                       double sigma)

Method Detail

a

public double a()

sigma

public double sigma()

dynamics

public org.jquantlib.model.shortrate.onefactormodels.OneFactorModel.ShortRateDynamics dynamics()

Description copied from class: OneFactorModel

Returns the short-rate dynamics

Specified by:

dynamics in class OneFactorModel

tree

public Lattice tree(TimeGrid grid)

Description copied from class: OneFactorModel

Return by default a trinomial recombining tree.

Overrides:

tree in class OneFactorModel

termStructure

public Handle<YieldTermStructure> termStructure()

Specified by:

termStructure in interface TermStructureConsistentModel