OneFactorModel::ShortRateDynamics Class Reference
#include <ql/ShortRateModels/onefactormodel.hpp>
Detailed Description
Base class describing the short-rate 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. | |