QuantLib_OneFactorModel_ShortRateDynamics

Langue: en

Autres versions - même langue

Version: 375143 (fedora - 01/12/10)

Section: 3 (Bibliothèques de fonctions)

Sommaire

NAME

QuantLib::OneFactorModel::ShortRateDynamics -

Base class describing the short-rate dynamics.

SYNOPSIS


#include <ql/models/shortrate/onefactormodel.hpp>

Inherited by CoxIngersollRoss::Dynamics, HullWhite::Dynamics, and Vasicek::Dynamics.

Public Member Functions


ShortRateDynamics (const boost::shared_ptr< StochasticProcess1D > &process)

virtual Real variable (Time t, Rate r) const =0
Compute state variable from short rate.
virtual Rate shortRate (Time t, Real variable) const =0
Compute short rate from state variable.
const boost::shared_ptr< StochasticProcess1D > & process ()
Returns the risk-neutral dynamics of the state variable.

Detailed Description

Base class describing the short-rate dynamics.

Author

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