![]() QuantLib 0.3.9Getting startedReference manual |
TwoFactorModel::ShortRateDynamics Class Reference#include <ql/ShortRateModels/twofactormodel.hpp>
Detailed DescriptionClass 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.
of two state variables
and
where
.
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