Short-rate dynamics in the Vasicek model. More...
#include <ql/models/shortrate/onefactormodels/vasicek.hpp>
 Inheritance diagram for Vasicek::Dynamics:
 Inheritance diagram for Vasicek::Dynamics:| 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. | |
Short-rate dynamics in the Vasicek model.
The short-rate follows an Ornstein-Uhlenbeck process with mean \( b \).