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

dr_t = a(b - r_t)dt + \sigma dW_t

where a, b and \sigma are constants. A risk premium \lambda can also be specified.

Attributes:
Lambda
a
b
dynamics

short-rate dynamics

r0
sigma

Methods

discount_bond(self, Time now, Time maturity, ...)

discount_bond_option(self, ...)

params(self)

set_params(self, Array params)