QuantLib
A free/open-source library for quantitative finance
Reference manual - version 1.8
Public Member Functions | List of all members
OneFactorModel::ShortRateDynamics Class Referenceabstract

Base class describing the short-rate dynamics. More...

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

+ Inheritance diagram for OneFactorModel::ShortRateDynamics:

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.
 

Detailed Description

Base class describing the short-rate dynamics.