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. |