org.jquantlib.model.shortrate.onefactormodels

Class Vasicek

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

All Implemented Interfaces:

AffineModel, Observable, Observer

Direct Known Subclasses:

HullWhite

public class Vasicek
extends OneFactorAffineModel

Vasicek model class

This class implements the Vasicek model defined by \f[ dr_t = a(b - r_t)dt + \sigma dW_t , \f] where \f$ a \f$, \f$ b \f$ and \f$ \sigma \f$ are constants; a risk premium \f$ \lambda \f$ can also be specified.

Constructor Summary

Constructors

Constructor and Description
Vasicek(double r0, double a, double b, double sigma, double lambda)

Method Summary

Modifier and Type	Method and Description
double	discountBondOption(Option.Type type, double strike, double maturity, double bondMaturity)
org.jquantlib.model.shortrate.onefactormodels.OneFactorModel.ShortRateDynamics	dynamics() Returns the short-rate dynamics

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

discount, discountBond, discountBond

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

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

Vasicek

public Vasicek(double r0,
               double a,
               double b,
               double sigma,
               double lambda)

Method Detail

discountBondOption

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

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