Vasicek::Dynamics Class Reference

#include <ql/ShortRateModels/OneFactorModels/vasicek.hpp>

List of all members.


Detailed Description

Short-rate dynamics in the Vasicek model.

The short-rate follows an Ornstein-Uhlenbeck process with mean $ b $.


Public Member Functions

 Dynamics (Real a, Real b, Real sigma, Real r0)
virtual Real variable (Time, Rate r) const
virtual Real shortRate (Time, Real x) const


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