- QuantLib
- TwoFactorModel
- ShortRateDynamics
 
Class describing the dynamics of the two state variables. More...
#include <ql/models/shortrate/twofactormodel.hpp>
Inherited by G2::Dynamics.
| Public Member Functions | |
| ShortRateDynamics (const boost::shared_ptr< StochasticProcess1D > &xProcess, const boost::shared_ptr< StochasticProcess1D > &yProcess, Real correlation) | |
| virtual Rate | shortRate (Time t, Real x, Real y) const =0 | 
| const boost::shared_ptr < StochasticProcess1D > & | xProcess () const | 
| Risk-neutral dynamics of the first state variable x. | |
| const boost::shared_ptr < StochasticProcess1D > & | yProcess () const | 
| Risk-neutral dynamics of the second state variable y. | |
| Real | correlation () const | 
| Correlation  between the two brownian motions. | |
| boost::shared_ptr < StochasticProcess > | process () const | 
| Joint process of the two variables. | |
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.
![\[ r_t = f(t, x_t, y_t) \]](form_308.png) 
 of two state variables  and
 and  . These stochastic processes satisfy
. These stochastic processes satisfy 
![\[ x_t = \mu_x(t, x_t)dt + \sigma_x(t, x_t) dW_t^x \]](form_309.png) 
and
![\[ y_t = \mu_y(t,y_t)dt + \sigma_y(t, y_t) dW_t^y \]](form_310.png) 
 where  and
 and  are two brownian motions satisfying
 are two brownian motions satisfying 
![\[ dW^x_t dW^y_t = \rho dt \]](form_313.png) 
.