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QuantLib_OneFactorModel_ShortRateDynamics
Langue: en
Version: 155110 (fedora - 05/07/09)
Section: 3 (Bibliothèques de fonctions)
NAME
QuantLib::OneFactorModel::ShortRateDynamics - Base class describing the short-rate dynamics.SYNOPSIS
#include <ql/models/shortrate/onefactormodel.hpp>
Inherited by BlackKarasinski::Dynamics, 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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