QuantLib 0.3.3 http://quantlib.org User manual Introduction to QuantLib Introduction Project overview Where to get QuantLib Installation Usage Supported platforms Version history Todo list Additional resources The QuantLib group Copyright and license QuantLib components Core classes Date and time calculations Lattice methods The finite differences framework The Monte Carlo framework Short-rate models Currencies and FX rates Instruments and pricers Math tools Design patterns Term structures Utilities Examples Reference manual Modules Namespace List Class Hierarchy Compound List File List Namespace Members Compound Members File Members Unstable Features Deprecated List

OneFactorModel::ShortRateDynamics Class Reference #include <onefactormodel.hpp> List of all members. Detailed Description Base class describing the short-rate dynamics. Public Member Functions   ShortRateDynamics (const Handle< DiffusionProcess > &process) virtual double  variable (Time t, Rate r) const=0   Compute state variable from short rate. virtual Rate  shortRate (Time t, double variable) const=0   Compute short rate from state variable. const Handle< DiffusionProcess > &  process ()   Returns the risk-neutral dynamics of the state variable. The documentation for this class was generated from the following file: ql/ShortRateModels/onefactormodel.hpp

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