template class xf::fintech::HWModelAnalytic

#include "hw_model.hpp"

Overview

Hull-White model Analytical Engine.

Parameters:

DT data type supported include float and double
template <
    typename DT,
    int LEN
    >
class HWModelAnalytic

Methods

HWModelAnalytic

HWModelAnalytic ()

brief constructor

initialization

void initialization (
    DT a,
    DT sigma,
    DT T [LEN],
    DT R [LEN]
    )

initialize parameters

Parameters:

a initial volatility of stock.
sigma the volatility of volatility.
A  
B  

shortRate

DT shortRate (DT t)

calcutate short-rate of dt at t

Parameters:

t the current timepoint

Returns:

anaylitic short-rate

discountBond

DT discountBond (
    DT t,
    DT T,
    DT rate
    )

calculate the discount after time t

Parameters:

t the current time point
T the maturity

Returns:

discount bond price