Class describing the dynamics of the two state variables. More...
#include <ql/models/shortrate/twofactormodel.hpp>
Inheritance diagram for TwoFactorModel::ShortRateDynamics:
Collaboration diagram for TwoFactorModel::ShortRateDynamics:
Public Member Functions | |
| ShortRateDynamics (ext::shared_ptr< StochasticProcess1D > xProcess, ext::shared_ptr< StochasticProcess1D > yProcess, Real correlation) | |
| virtual | ~ShortRateDynamics ()=default |
| virtual Rate | shortRate (Time t, Real x, Real y) const =0 |
| const ext::shared_ptr< StochasticProcess1D > & | xProcess () const |
| Risk-neutral dynamics of the first state variable x. More... | |
| const ext::shared_ptr< StochasticProcess1D > & | yProcess () const |
| Risk-neutral dynamics of the second state variable y. More... | |
| Real | correlation () const |
| Correlation \( \rho \) between the two brownian motions. More... | |
| ext::shared_ptr< StochasticProcess > | process () const |
| Joint process of the two variables. More... | |
Private Attributes | |
| ext::shared_ptr< StochasticProcess1D > | xProcess_ |
| ext::shared_ptr< StochasticProcess1D > | yProcess_ |
| Real | correlation_ |
Detailed Description
Class describing the dynamics of the two state variables.
We assume here that the short-rate is a function of two state variables x and y.
\[ r_t = f(t, x_t, y_t) \]
of two state variables \( x_t \) and \( y_t \). These stochastic processes satisfy
\[ x_t = \mu_x(t, x_t)dt + \sigma_x(t, x_t) dW_t^x \]
and
\[ y_t = \mu_y(t,y_t)dt + \sigma_y(t, y_t) dW_t^y \]
where \( W^x \) and \( W^y \) are two brownian motions satisfying
\[ dW^x_t dW^y_t = \rho dt \]
.
Definition at line 72 of file twofactormodel.hpp.
Constructor & Destructor Documentation
◆ ShortRateDynamics()
| ShortRateDynamics | ( | ext::shared_ptr< StochasticProcess1D > | xProcess, |
| ext::shared_ptr< StochasticProcess1D > | yProcess, | ||
| Real | correlation | ||
| ) |
Definition at line 74 of file twofactormodel.hpp.
◆ ~ShortRateDynamics()
|
virtualdefault |
Member Function Documentation
◆ shortRate()
Implemented in G2::Dynamics.
◆ xProcess()
| const ext::shared_ptr< StochasticProcess1D > & xProcess | ( | ) | const |
Risk-neutral dynamics of the first state variable x.
Definition at line 84 of file twofactormodel.hpp.
◆ yProcess()
| const ext::shared_ptr< StochasticProcess1D > & yProcess | ( | ) | const |
Risk-neutral dynamics of the second state variable y.
Definition at line 89 of file twofactormodel.hpp.
◆ correlation()
| Real correlation | ( | ) | const |
Correlation \( \rho \) between the two brownian motions.
Definition at line 94 of file twofactormodel.hpp.
◆ process()
| ext::shared_ptr< StochasticProcess > process | ( | ) | const |
Joint process of the two variables.
Definition at line 51 of file twofactormodel.cpp.
Member Data Documentation
◆ xProcess_
|
private |
Definition at line 102 of file twofactormodel.hpp.
◆ yProcess_
|
private |
Definition at line 102 of file twofactormodel.hpp.
◆ correlation_
|
private |
Definition at line 103 of file twofactormodel.hpp.