Vasicek::Dynamics Class Reference

Short-rate dynamics in the Vasicek model. More...

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

Inheritance diagram for Vasicek::Dynamics:

List of all members.

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 $.