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
where
and
are constants.
- Attributes:
dynamics
short-rate dynamics
Methods
params
(self)set_params
(self, Array params)