TwoFactorModel::ShortRateDynamics Class Reference
#include <ql/models/shortrate/twofactormodel.hpp>
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.
of two state variables and
. These stochastic processes satisfy
and
where and
are two brownian motions satisfying
.
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 ![]() | |
boost::shared_ptr< StochasticProcess > | process () const |
Joint process of the two variables. |