CapeTools Models
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In total there are 6 functions present within the CapeTools Models category of functions.
General Description
Functions to create interest rate model objects that can be calibrated via the various interest rate calibration functions present within the 'CapeTools Calibration' category of functions. The interest rate Model objects that can be created are :
- BlackModel() ( Black's Option Formula : can be passed to the BlackCapFloorEngine() or the BlackSwaptionEngine() objects)
- G2TwoFactorModel() (Two factor additive ShortRate Model)
- HullWhite1FModel() (Single-factor Hull-White (extended Vasicek) ShortRate Model object)
- BK1FModel() (Single-factor BlackKarasinski ShortRate Model object)
- Vasicek1FModel() (Single-factor Vasicek ShortRate Model object)
- LiborMarketModel() (Forward Libor Market Model object)
Function list.
- BK1FModel - Creates a Single-factor BlackKarasinski ShortRate Model object to be used within the interest rate Engines.
- BlackModel - Creates a Black Model object to be used within the construction of an interest rate Engine object.
- G2TwoFactorModel - Creates a two factor additive ShortRate Model object to be used within the interest rate Engines.
- HullWhite1FModel - Creates a Single-factor Hull-White (extended Vasicek) ShortRate Model object to be used within the interest rate Engines.
- LiborMarketModel - Given volatility and correlation specification objects, creates a Libor Forward Market Model object to be used within the interest rate Engines.
- Vasicek1FModel - Creates a Single-factor Vasicek ShortRate Model object to be used within the interest rate Engines.
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