QuantLib_OneFactorModel_ShortRateDynamics man page

OneFactorModel::ShortRateDynamics — Base class describing the short-rate dynamics.  


#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.


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Referenced By

The man page ShortRateDynamics(3) is an alias of QuantLib_OneFactorModel_ShortRateDynamics(3).

Mon Apr 30 2018 Version 1.12.1 QuantLib