QuantLib_TwoFactorModel_ShortRateDynamics man page

TwoFactorModel::ShortRateDynamics — Class describing the dynamics of the two state variables.  


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

Inherited by G2::Dynamics.

Public Member Functions

ShortRateDynamics (const boost::shared_ptr< StochasticProcess1D > &xProcess, const boost::shared_ptr< StochasticProcess1D > &yProcess, Real correlation)
virtual Rate shortRate (Time t, Real x, Real y) const =0
const boost::shared_ptr< StochasticProcess1D > & xProcess () const
Risk-neutral dynamics of the first state variable x.
const boost::shared_ptr< StochasticProcess1D > & yProcess () const
Risk-neutral dynamics of the second state variable y.
Real correlation () const
Correlation $ rho $ between the two brownian motions.
boost::shared_ptr< StochasticProcess > process () const
Joint process of the two variables.

Detailed Description

Class describing the dynamics of the two state variables.

We assume here that the short-rate is a function of two state variables x and y. [ r_t = f(t, x_t, y_t) ] of two state variables $ x_t $ and $ y_t $. These stochastic processes satisfy [ x_t = mu_x(t, x_t)dt + sigma_x(t, x_t) dW_t^x ] and [ y_t = mu_y(t,y_t)dt + sigma_y(t, y_t) dW_t^y ] where $ W^x $ and $ W^y $ are two brownian motions satisfying [ dW^x_t dW^y_t = rho dt ].


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Referenced By

The man pages xProcess(3) and yProcess(3) are aliases of QuantLib_TwoFactorModel_ShortRateDynamics(3).

Wed Feb 7 2018 Version 1.10.1 QuantLib