Base class describing the short-rate dynamics. More...
#include <ql/models/shortrate/onefactormodel.hpp>
Inheritance diagram for OneFactorModel::ShortRateDynamics:
Collaboration diagram for OneFactorModel::ShortRateDynamics:
Public Member Functions | |
| ShortRateDynamics (ext::shared_ptr< StochasticProcess1D > process) | |
| virtual | ~ShortRateDynamics ()=default |
| virtual Real | variable (Time t, Rate r) const =0 |
| Compute state variable from short rate. More... | |
| virtual Rate | shortRate (Time t, Real variable) const =0 |
| Compute short rate from state variable. More... | |
| const ext::shared_ptr< StochasticProcess1D > & | process () |
| Returns the risk-neutral dynamics of the state variable. More... | |
Private Attributes | |
| ext::shared_ptr< StochasticProcess1D > | process_ |
Detailed Description
Base class describing the short-rate dynamics.
Definition at line 54 of file onefactormodel.hpp.
Constructor & Destructor Documentation
◆ ShortRateDynamics()
|
explicit |
Definition at line 56 of file onefactormodel.hpp.
◆ ~ShortRateDynamics()
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virtualdefault |
Member Function Documentation
◆ variable()
Compute state variable from short rate.
Implemented in BlackKarasinski::Dynamics, ExtendedCoxIngersollRoss::Dynamics, HullWhite::Dynamics, CoxIngersollRoss::Dynamics, and Vasicek::Dynamics.
◆ shortRate()
Compute short rate from state variable.
Implemented in BlackKarasinski::Dynamics, HullWhite::Dynamics, ExtendedCoxIngersollRoss::Dynamics, Vasicek::Dynamics, and CoxIngersollRoss::Dynamics.
◆ process()
| const ext::shared_ptr< StochasticProcess1D > & process | ( | ) |
Returns the risk-neutral dynamics of the state variable.
Definition at line 67 of file onefactormodel.hpp.
Member Data Documentation
◆ process_
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private |
Definition at line 71 of file onefactormodel.hpp.