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

HWModelAnalytic ()

brief constructor

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

DT shortRate (DT t)

calcutate short-rate of dt at t

Parameters:

t	the current timepoint

Returns:

anaylitic short-rate

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