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)
Real	variable (Time, Rate r) const override
	Compute state variable from short rate.
Real	shortRate (Time, Real x) const override
	Compute short rate from state variable.
Public Member Functions inherited from OneFactorModel::ShortRateDynamics
	ShortRateDynamics (ext::shared_ptr< StochasticProcess1D > process)
const ext::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 \( b \).

Member Function Documentation

variable()

Real variable ( Time t, Rate r ) const

overridevirtual

Compute state variable from short rate.

Implements OneFactorModel::ShortRateDynamics.

shortRate()

Real shortRate ( Time t, Real variable ) const

overridevirtual

Compute short rate from state variable.

Implements OneFactorModel::ShortRateDynamics.