ShortRateDynamics (3) Linux Manual Page
QuantLib::OneFactorModel::ShortRateDynamics – Base class describing the short-rate dynamics.
Synopsis
#include <ql/models/shortrate/onefactormodel.hpp>Inherited by Dynamics, Dynamics, Dynamics, and Dynamics.
Public Member Functions
ShortRateDynamics (const boost::shared_ptr< StochasticProcess1D > &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< StochasticProcess1D > & process ()
Returns the risk-neutral dynamics of the state variable.