QuantLib: Vasicek::Dynamics Class Reference

A free/open-source library for quantitative finance Reference manual - version 1.6

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Vasicek::Dynamics Class Reference

Short-rate dynamics in the Vasicek model. More...

`#include <ql/models/shortrate/onefactormodels/vasicek.hpp>`

Inheritance diagram for Vasicek::Dynamics:
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## Public Member Functions
| Dynamics (Real a, Real b, Real sigma, Real r0)
virtual Real | variable (Time, Rate r) const
| Compute state variable from short rate.
virtual Real | shortRate (Time, Real x) const
| Compute short rate from state variable.
Public Member Functions inherited from OneFactorModel::ShortRateDynamics
| ShortRateDynamics (const boost::shared_ptr< StochasticProcess1D > &process)
const boost::shared_ptr< StochasticProcess1D > & | process ()
| Returns the risk-neutral dynamics of the state variable.

## Detailed Description

Short-rate dynamics in the Vasicek model.

The short-rate follows an Ornstein-Uhlenbeck process with mean \( b \).