QuantLib_Vasicek_Dynamics (3) - Linux Man Pages
QuantLib_Vasicek_Dynamics: Short-rate dynamics in the Vasicek model.
QuantLib::Vasicek::Dynamics - Short-rate dynamics in the Vasicek model.
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.
Short-rate dynamics in the Vasicek model.
The short-rate follows an Ornstein-Uhlenbeck process with mean $ b $.
Generated automatically by Doxygen for QuantLib from the source code.