QuantLib
A free/open-source library for quantitative finance
Reference manual - version 1.5
Public Member Functions | List of all members
Vasicek::Dynamics Class Reference

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 boost::shared_ptr< StochasticProcess1D > &process)
 
const boost::shared_ptr
< StochasticProcess1D > & 
process ()
 Returns the risk-neutral dynamics of the state variable.
 

Detailed Description

Short-rate dynamics in the Vasicek model.

The short-rate follows an Ornstein-Uhlenbeck process with mean \( b \).