Short-rate dynamics in the Vasicek model. More...
#include <ql/models/shortrate/onefactormodels/vasicek.hpp>
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. | |
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ShortRateDynamics (const boost::shared_ptr< StochasticProcess1D > &process) | |
const boost::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 \( b \).