org.jquantlib.model.shortrate.onefactormodels

Class HullWhite

java.lang.Object

org.jquantlib.model.CalibratedModel

org.jquantlib.model.shortrate.ShortRateModel

org.jquantlib.model.shortrate.onefactormodels.OneFactorModel

org.jquantlib.model.shortrate.onefactormodels.OneFactorAffineModel

org.jquantlib.model.shortrate.onefactormodels.Vasicek

org.jquantlib.model.shortrate.onefactormodels.HullWhite

All Implemented Interfaces:

AffineModel, TermStructureConsistentModel, Observable, Observer

public class HullWhite
extends Vasicek
implements TermStructureConsistentModel

Single-factor Hull-White (extended Vasicek) model class.

This class implements the standard single-factor Hull-White model defined by

where and are constants.

Nested Class Summary

Nested Classes

Modifier and Type	Class and Description
class	HullWhite.Dynamics Short-rate dynamics in the Hull-White model

Constructor Summary

Constructors

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

Method Summary

Modifier and Type	Method and Description
double	convexityBias(double futurePrice, double t, double T, double sigma, double a) Futures convexity bias (i.e., the difference between futures implied rate and forward rate) calculated as in
double	discountBondOption(Option.Type type, double strike, double maturity, double bondMaturity)
org.jquantlib.model.shortrate.onefactormodels.OneFactorModel.ShortRateDynamics	dynamics() Returns the short-rate dynamics
Handle<YieldTermStructure>	termStructure()
Lattice	tree(TimeGrid grid) Return by default a trinomial recombining tree.

Methods inherited from class org.jquantlib.model.shortrate.onefactormodels.OneFactorAffineModel

discount, discountBond, discountBond

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

HullWhite

public HullWhite(Handle<YieldTermStructure> termStructure)

HullWhite

public HullWhite(Handle<YieldTermStructure> termStructure,
                 double a)

HullWhite

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

Method Detail

discountBondOption

public double discountBondOption(Option.Type type,
                                 double strike,
                                 double maturity,
                                 double bondMaturity)

Specified by:

discountBondOption in interface AffineModel

Overrides:

discountBondOption in class Vasicek

convexityBias

public double convexityBias(double futurePrice,
                            double t,
                            double T,
                            double sigma,
                            double a)

Futures convexity bias (i.e., the difference between futures implied rate and forward rate) calculated as in

G. Kirikos, D. Novak, "Convexity Conundrums", Risk Magazine, March 1997.

tree

public Lattice tree(TimeGrid grid)

Description copied from class: OneFactorModel

Return by default a trinomial recombining tree.

Overrides:

tree in class OneFactorModel

dynamics

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

Description copied from class: OneFactorModel

Returns the short-rate dynamics

Overrides:

dynamics in class Vasicek

termStructure

public Handle<YieldTermStructure> termStructure()

Specified by:

termStructure in interface TermStructureConsistentModel