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QuantLib_TwoFactorModel_ShortRateDynamics
Langue: en
Version: 158603 (fedora - 05/07/09)
Section: 3 (Bibliothèques de fonctions)
NAME
QuantLib::TwoFactorModel::ShortRateDynamics - Class describing the dynamics of the two state variables.SYNOPSIS
#include <ql/models/shortrate/twofactormodel.hpp>
Inherited by G2::Dynamics.
Public Member Functions
ShortRateDynamics (const boost::shared_ptr< StochasticProcess1D > &xProcess, const boost::shared_ptr< StochasticProcess1D > &yProcess, Real correlation)
virtual Rate shortRate (Time t, Real x, Real y) const =0
const boost::shared_ptr< StochasticProcess1D > & xProcess () const
Risk-neutral dynamics of the first state variable x.
const boost::shared_ptr< StochasticProcess1D > & yProcess () const
Risk-neutral dynamics of the second state variable y.
Real correlation () const
Correlation $ ho $ between the two brownian motions.
boost::shared_ptr< StochasticProcess > process () const
Joint process of the two variables.
Detailed Description
Class describing the dynamics of the two state variables.
We assume here that the short-rate is a function of two state variables x and y. \ of two state variables $ x_t $ and $ y_t $. These stochastic processes satisfy \ and \ where $ W^x $ and $ W^y $ are two brownian motions satisfying \.
Author
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