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From: Brian S. <bri...@gm...> - 2020-10-25 08:44:45
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Hi, I am confused about the definition of the Black Karasinski Class implemented in Quantlib. The reference is available in https://rkapl123.github.io/QLAnnotatedSource/d4/d58/class_quant_lib_1_1_black_karasinski.html As per this documentation, the constructor of this class takes a parameter called "a" which is defaulted at 0.1 But in this same documentation, the actual process is defined as - \[ d\ln r_t = (\theta(t) - \alpha \ln r_t)dt + \sigma dW_t, \] Can you please help me understand what is the relation between a and {theta, alpha} in above two forms of specification? Thanks for your time. Regards |