TwoFactorModel::ShortRateDynamics Class Reference

#include <ql/models/shortrate/twofactormodel.hpp>

List of all members.


Detailed Description

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.

\[ r_t = f(t, x_t, y_t) \]

of two state variables $ x_t $ and $ y_t $. These stochastic processes satisfy

\[ x_t = \mu_x(t, x_t)dt + \sigma_x(t, x_t) dW_t^x \]

and

\[ y_t = \mu_y(t,y_t)dt + \sigma_y(t, y_t) dW_t^y \]

where $ W^x $ and $ W^y $ are two brownian motions satisfying

\[ dW^x_t dW^y_t = \rho dt \]

.


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 $ \rho $ between the two brownian motions.
boost::shared_ptr< StochasticProcessprocess () const
 Joint process of the two variables.