ShortRateModels.HTML_1.gif

functions to construct and use short-rate model objects.

The first step is to load the QuantLib package.

Needs["QuantLib`"]

Within the ShortRateModels part there are several constructors and no member functions available

In[138]:=

Select[Category[ShortRateModels],QLConstructor[#]&]

Out[138]=

ShortRateModels.HTML_2.gif

Select[Category[ShortRateModels],QLMember[#]&]

Constructors

HullWhite

ShortRateModels.HTML_3.gif

ShortRateModels.HTML_4.gif

obj=HullWhite[YieldCurve,A,Sigma]

Vasicek

ShortRateModels.HTML_5.gif

In[133]:=

ShortRateModels.HTML_6.gif

In[137]:=

obj=Vasicek[A,B,Lambda,Sigma]

Out[137]=

ShortRateModels.HTML_7.gif

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