TwoFactorModel::ShortRateDynamics Class Reference

#include <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 Handle< DiffusionProcess > &xProcess, const Handle< DiffusionProcess > &yProcess, double correlation)
virtual Rate shortRate (Time t, double x, double y) const=0
const Handle< DiffusionProcess > & xProcess () const
 Risk-neutral dynamics of the first state variable x.

const Handle< DiffusionProcess > & yProcess () const
 Risk-neutral dynamics of the second state variable y.

double correlation () const
 Correlation $ \rho $ between the two brownian motions.


The documentation for this class was generated from the following file:

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