Vasicek::Dynamics Class Reference
#include <ql/ShortRateModels/OneFactorModels/vasicek.hpp>
Detailed Description
Short-rate dynamics in the Vasicek model.
The short-rate follows an Ornstein-Uhlenbeck process with mean
.
Public Member Functions | |
| Dynamics (Real a, Real b, Real sigma, Real r0) | |
| virtual Real | variable (Time, Rate r) const |
| virtual Real | shortRate (Time, Real x) const |