TreeBlackKarasinski
Subtype of Pricing MethodCorresponds to the QuantLib TreeSwaption Engine powered with a Black Karasinski Model one factor short rate model.
SDE: dln(r) = (θ - α ln(r))dt + σdw
Tree implementation.
Corresponds to the QuantLib TreeSwaption Engine powered with a Black Karasinski Model one factor short rate model.
SDE: dln(r) = (θ - α ln(r))dt + σdw
Tree implementation.