Short-rate dynamics in the Vasicek model. More...
#include <ql/models/shortrate/onefactormodels/vasicek.hpp>
Inheritance diagram for Vasicek::Dynamics: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. | |
Public Member Functions inherited from OneFactorModel::ShortRateDynamics | |
| ShortRateDynamics (const ext::shared_ptr< StochasticProcess1D > &process) | |
| const ext::shared_ptr< StochasticProcess1D > & | process () |
| Returns the risk-neutral dynamics of the state variable. | |
Short-rate dynamics in the Vasicek model.
The short-rate follows an Ornstein-Uhlenbeck process with mean \( b \).