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<li class="navelem"><a class="el" href="namespace_quant_lib.html">QuantLib</a></li><li class="navelem"><a class="el" href="class_quant_lib_1_1_hull_white.html">HullWhite</a></li><li class="navelem"><a class="el" href="class_quant_lib_1_1_hull_white_1_1_dynamics.html">Dynamics</a></li> </ul>
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<a href="#pub-methods">Public Member Functions</a> |
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<p>Short-rate dynamics in the Hull-White model.
<a href="class_quant_lib_1_1_hull_white_1_1_dynamics.html#details">More...</a></p>
<p><code>#include <ql/models/shortrate/onefactormodels/hullwhite.hpp></code></p>
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<img id="dynsection-0-trigger" src="closed.png" alt="+"/> Inheritance diagram for HullWhite::Dynamics:</div>
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<tr class="heading"><td colspan="2"><h2 class="groupheader"><a name="pub-methods"></a>
Public Member Functions</h2></td></tr>
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 </td><td class="memItemRight" valign="bottom"><b>Dynamics</b> (const <a class="el" href="class_quant_lib_1_1_parameter.html">Parameter</a> &fitting, <a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> a, <a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> sigma)</td></tr>
<tr class="separator:a007a2e1b524bd7656fd5528934b497f7"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:a16f39c63a6c9a8918feafa713c610c86"><td class="memItemLeft" align="right" valign="top"><a id="a16f39c63a6c9a8918feafa713c610c86"></a>
<a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_hull_white_1_1_dynamics.html#a16f39c63a6c9a8918feafa713c610c86">variable</a> (<a class="el" href="group__types.html#ga14fb8fca43a68f4168654e1f9f7e22f7">Time</a> t, <a class="el" href="group__types.html#gaede435af51236692b1107d7639581d39">Rate</a> r) const</td></tr>
<tr class="memdesc:a16f39c63a6c9a8918feafa713c610c86"><td class="mdescLeft"> </td><td class="mdescRight">Compute state variable from short rate. <br /></td></tr>
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<tr class="memitem:a1863f46430e668bfc47943686c8e78e8"><td class="memItemLeft" align="right" valign="top"><a id="a1863f46430e668bfc47943686c8e78e8"></a>
<a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_hull_white_1_1_dynamics.html#a1863f46430e668bfc47943686c8e78e8">shortRate</a> (<a class="el" href="group__types.html#ga14fb8fca43a68f4168654e1f9f7e22f7">Time</a> t, <a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> x) const</td></tr>
<tr class="memdesc:a1863f46430e668bfc47943686c8e78e8"><td class="mdescLeft"> </td><td class="mdescRight">Compute short rate from state variable. <br /></td></tr>
<tr class="separator:a1863f46430e668bfc47943686c8e78e8"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="inherit_header pub_methods_class_quant_lib_1_1_one_factor_model_1_1_short_rate_dynamics"><td colspan="2" onclick="javascript:toggleInherit('pub_methods_class_quant_lib_1_1_one_factor_model_1_1_short_rate_dynamics')"><img src="closed.png" alt="-"/> Public Member Functions inherited from <a class="el" href="class_quant_lib_1_1_one_factor_model_1_1_short_rate_dynamics.html">OneFactorModel::ShortRateDynamics</a></td></tr>
<tr class="memitem:abf095c87c35d04b8dd0bd652417338e9 inherit pub_methods_class_quant_lib_1_1_one_factor_model_1_1_short_rate_dynamics"><td class="memItemLeft" align="right" valign="top"><a id="abf095c87c35d04b8dd0bd652417338e9"></a>
 </td><td class="memItemRight" valign="bottom"><b>ShortRateDynamics</b> (const ext::shared_ptr< <a class="el" href="class_quant_lib_1_1_stochastic_process1_d.html">StochasticProcess1D</a> > &<a class="el" href="class_quant_lib_1_1_one_factor_model_1_1_short_rate_dynamics.html#a5a9404ed5bf426e14c92f48328c85d1b">process</a>)</td></tr>
<tr class="separator:abf095c87c35d04b8dd0bd652417338e9 inherit pub_methods_class_quant_lib_1_1_one_factor_model_1_1_short_rate_dynamics"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:a5a9404ed5bf426e14c92f48328c85d1b inherit pub_methods_class_quant_lib_1_1_one_factor_model_1_1_short_rate_dynamics"><td class="memItemLeft" align="right" valign="top"><a id="a5a9404ed5bf426e14c92f48328c85d1b"></a>
const ext::shared_ptr< <a class="el" href="class_quant_lib_1_1_stochastic_process1_d.html">StochasticProcess1D</a> > & </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_one_factor_model_1_1_short_rate_dynamics.html#a5a9404ed5bf426e14c92f48328c85d1b">process</a> ()</td></tr>
<tr class="memdesc:a5a9404ed5bf426e14c92f48328c85d1b inherit pub_methods_class_quant_lib_1_1_one_factor_model_1_1_short_rate_dynamics"><td class="mdescLeft"> </td><td class="mdescRight">Returns the risk-neutral dynamics of the state variable. <br /></td></tr>
<tr class="separator:a5a9404ed5bf426e14c92f48328c85d1b inherit pub_methods_class_quant_lib_1_1_one_factor_model_1_1_short_rate_dynamics"><td class="memSeparator" colspan="2"> </td></tr>
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<a name="details" id="details"></a><h2 class="groupheader">Detailed Description</h2>
<div class="textblock"><p>Short-rate dynamics in the Hull-White model. </p>
<p>The short-rate is here </p><p class="formulaDsp">
\[ r_t = \varphi(t) + x_t \]
</p>
<p> where \( \varphi(t) \) is the deterministic time-dependent parameter used for term-structure fitting and \( x_t \) is the state variable following an Ornstein-Uhlenbeck process. </p>
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