quantlib.models.shortrate.onefactormodels.vasicek.Vasicek¶
- class Vasicek(Rate r0, Real a=0, Real b=0, Real sigma=0, Real Lambda=0)¶
Bases:
OneFactorAffineModel
Vasicek model
defined by
where , and are constants. A risk premium can also be specified.
- __init__(*args, **kwargs)¶
Methods
__init__
(*args, **kwargs)discount_bound
(self, Time now, ...)params
(self)set_params
(self, Array params)Attributes
Lambda
a
b
dynamics
r0
sigma