OneFactorModel::ShortRateDynamics Class Reference

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

Inheritance diagram for OneFactorModel::ShortRateDynamics:

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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.