QuantLib: OneFactorModel::ShortRateDynamics Class Reference

A free/open-source library for quantitative finance Reference manual - version 1.20

Public Member Functions | List of all members
OneFactorModel::ShortRateDynamics Class Referenceabstract

Base class describing the short-rate dynamics. More...

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

Inheritance diagram for OneFactorModel::ShortRateDynamics:
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## Public Member Functions
| ShortRateDynamics (const ext::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 ext::shared_ptr< StochasticProcess1D > & | process ()
| Returns the risk-neutral dynamics of the state variable.

## Detailed Description

Base class describing the short-rate dynamics.