OneFactorModel::ShortRateDynamics Class Reference

#include <ql/ShortRateModels/onefactormodel.hpp>

List of all members.


Detailed Description

Base class describing the short-rate dynamics.


Public Member Functions

 ShortRateDynamics (const boost::shared_ptr< StochasticProcess > &process)
virtual Real variable (Time t, Rate r) const =0
 Compute state variable from short rate.

virtual Rate shortRate (Time t, Real variable) const =0
 Compute short rate from state variable.

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


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