Short-rate dynamics in the Black-Karasinski model. More...
#include <ql/models/shortrate/onefactormodels/blackkarasinski.hpp>
Inherits ShortRateDynamics.
Public Member Functions | |
Dynamics (const Parameter &fitting, Real alpha, Real sigma) | |
Real | variable (Time t, Rate r) const |
Real | shortRate (Time t, Real x) const |
Short-rate dynamics in the Black-Karasinski model.
The short-rate is here
\[ r_t = e^{\varphi(t) + x_t} \]
where \( \varphi(t) \) is the deterministic time-dependent parameter (which can not be determined analytically) used for term-structure fitting and \( x_t \) is the state variable following an Ornstein-Uhlenbeck process.