QuantLib_Vasicek_Dynamics man page

Vasicek::Dynamics — Short-rate dynamics in the Vasicek model.

Synopsis

#include <ql/models/shortrate/onefactormodels/vasicek.hpp>

Inherits 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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Info

Fri Sep 23 2016 Version 1.8.1 QuantLib