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QuantLib_Vasicek_Dynamics
Langue: en
Version: 374015 (fedora - 01/12/10)
Section: 3 (Bibliothèques de fonctions)
NAME
QuantLib::Vasicek::Dynamics -Short-rate dynamics in the Vasicek model.
SYNOPSIS
#include <ql/models/shortrate/onefactormodels/vasicek.hpp>
Inherits QuantLib::OneFactorModel::ShortRateDynamics.
Public Member Functions
Dynamics (Real a, Real b, Real sigma, Real r0)
virtual Real variable (Time, Rate r) const
Compute state variable from short rate.
virtual Real shortRate (Time, Real x) const
Compute short rate from state variable.
Detailed Description
Short-rate dynamics in the Vasicek model.
The short-rate follows an Ornstein-Uhlenbeck process with mean $ b $.
Author
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