 
Short-rate dynamics in the Hull-White model. More...
#include <ql/models/shortrate/onefactormodels/hullwhite.hpp>

| Public Member Functions | |
| Dynamics (const Parameter &fitting, Real a, Real sigma) | |
| Real | variable (Time t, Rate r) const | 
| Compute state variable from short rate. | |
| Real | shortRate (Time t, Real x) const | 
| Compute short rate from state variable. | |
Short-rate dynamics in the Hull-White model.
The short-rate is here
![\[ r_t = \varphi(t) + x_t \]](form_305.png) 
 where  is the deterministic time-dependent parameter used for term-structure fitting and
 is the deterministic time-dependent parameter used for term-structure fitting and  is the state variable following an Ornstein-Uhlenbeck process.
 is the state variable following an Ornstein-Uhlenbeck process.