- QuantLib
- TwoFactorModel
- ShortRateDynamics
Class describing the dynamics of the two state variables. More...
#include <ql/models/shortrate/twofactormodel.hpp>
Inherited by G2::Dynamics.
Public Member Functions | |
| ShortRateDynamics (const boost::shared_ptr< StochasticProcess1D > &xProcess, const boost::shared_ptr< StochasticProcess1D > &yProcess, Real correlation) | |
| virtual Rate | shortRate (Time t, Real x, Real y) const =0 |
|
const boost::shared_ptr < StochasticProcess1D > & | xProcess () const |
| Risk-neutral dynamics of the first state variable x. | |
|
const boost::shared_ptr < StochasticProcess1D > & | yProcess () const |
| Risk-neutral dynamics of the second state variable y. | |
| Real | correlation () const |
Correlation between the two brownian motions. | |
|
boost::shared_ptr < StochasticProcess > | process () const |
| Joint process of the two variables. | |
Class 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
. These stochastic processes satisfy
and
where
and
are two brownian motions satisfying
.