Black Karasinski Model


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