Black Karasinski Model


Black Karasinski Model is a direct subtype of Model[Short Rate]
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with functions Black Karasinski Model Functions, keys Black Karasinski Model keys and example object BKmdl

TYPE INCLUSION RELATIONSHIPS

Model Short Rate

Black Karasinski Model

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AVAILABLE FUNCTIONS

Create

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AVAILABLE CREATE FUNCTION KEYS

Alpha

Sigma

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TYPICAL OBJECTS OF TYPE Black Karasinski Model

BKmdl

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This type represents a short rate that follows a single-factor stochastic process r according to the SDE:
dln(r) = (θ - α ln(r))dt + σdw
where ln(r) denotes the logarithm of r. w is a Wiener process, α, σ are constants and θ is a deterministic function of the time t.