black-karasinski

README.md

@@ -14,6 +14,7 @@ Financial derivatives modeling and pricing in Julia.
 
 ## Models
 
+* `BlackKarasinski`
 * `BlackScholes`
 * `BrennanSchwartz`
 * `CoxIngersollRoss`

src/FinancialDerivatives.jl

@@ -9,7 +9,8 @@ export InterestRateDerivative,
        EuropeanOption,
        FXOption
 
-export BlackScholes,
+export BlackKarasinski,
+       BlackScholes,
        BrennanSchwartz,
        CoxIngersollRoss,
        CoxRossRubinstein,
@@ -27,6 +28,7 @@ abstract type Model end
 
 include("derivatives.jl")
 
+include("models/black_karasinski.jl")
 include("models/black_scholes.jl")
 include("models/brennan_schwartz.jl")
 include("models/cox_ingersoll_ross.jl")

src/models/black_karasinski.jl

@@ -0,0 +1,15 @@
+struct BlackKarasinski <: Model end
+
+"""
+`BlackKarasinski`:
+    `n`: number of paths to simulate
+"""
+function evaluate(IRD::InterestRateDerivative, m::BlackKarasinski, n::Int64 = 12)
+    Δt = IRD.t / n
+    rates = [IRD.r]
+    for i = 0:n
+        dr = IRD.k * (IRD.θ - log(rates[end])) * Δt + IRD.σ * rates[end] * randn()
+        append!(rates, rates[end] + dr)
+    end
+    return rates
+end