# yProcess (3) - Linux Man Pages

## yProcess: Class describing the dynamics of the two state variables.

## NAME

QuantLib::TwoFactorModel::ShortRateDynamics - Class describing the dynamics of the two state variables.

## SYNOPSIS

#include <ql/models/shortrate/twofactormodel.hpp>

Inherited by 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. [ r_t = f(t, x_t, y_t) ] of two state variables $ x_t $ and $ y_t $. These stochastic processes satisfy [ x_t = mu_x(t, x_t)dt + igma_x(t, x_t) dW_t^x ] and [ y_t = mu_y(t,y_t)dt + igma_y(t, y_t) dW_t^y ] where $ W^x $ and $ W^y $ are two brownian motions satisfying [ dW^x_t dW^y_t = ho dt ].

## Author

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