quantlib.models.shortrate.onefactormodels.blackkarasinski.

BlackKarasinski

class BlackKarasinski(HandleYieldTermStructure term_structure, Real a=0.1, Real sigma=0.1)

Bases: OneFactorModel

Standard Black-Karasinski model

defined by

d\ln r_t = (\theta(t) - \alpha \ln r_t)dt + \sigma dW_t,

where alpha and \sigma are constants.

Attributes:
dynamics

short-rate dynamics

Methods

params(self)

set_params(self, Array params)