quantlib.models.shortrate.onefactormodels.hullwhite.
HullWhite¶
- class HullWhite(HandleYieldTermStructure term_structure, Real a=0.1, Real sigma=0.01)¶
Bases:
Vasicek
Single-factor Hull-White (extended Vasicek) model.
The standard single-factor Hull-White model is defined by
where
and
are constants.
Warning
When the term structure is relinked the
parameter of the underlying Vasicek model is not updated.
- Attributes:
- Lambda
- a
- b
dynamics
short-rate dynamics
- r0
- sigma
Methods
calibrate
(self, list helpers, ...)convexity_bias
(Real future_price, Time t, ...)Futures convexity bias
discount_bond
(self, Time now, Time maturity, ...)discount_bond_option
(self, ...)params
(self)set_params
(self, Array params)