Vasicek::Dynamics Class Reference
#include <ql/models/shortrate/onefactormodels/vasicek.hpp>
Detailed Description
Short-rate dynamics in the Vasicek model.
The short-rate follows an Ornstein-Uhlenbeck process with mean .
Public Member Functions | |
Dynamics (Real a, Real b, Real sigma, Real r0) | |
virtual Real | variable (Time, Rate r) const |
virtual Real | shortRate (Time, Real x) const |