QuantLib_Vasicek_Dynamics (3) - Linux Manuals

QuantLib_Vasicek_Dynamics: Short-rate dynamics in the Vasicek model.

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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