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