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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_vasicek.html">Vasicek</a></li><li class="navelem"><a class="el" href="class_quant_lib_1_1_vasicek_1_1_dynamics.html">Dynamics</a></li> </ul>
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<a href="#pub-methods">Public Member Functions</a> |
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<div class="title">Vasicek::Dynamics Class Reference</div> </div>
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<p>Short-rate dynamics in the Vasicek model.
<a href="class_quant_lib_1_1_vasicek_1_1_dynamics.html#details">More...</a></p>
<p><code>#include <ql/models/shortrate/onefactormodels/vasicek.hpp></code></p>
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<img id="dynsection-0-trigger" src="closed.png" alt="+"/> Inheritance diagram for Vasicek::Dynamics:</div>
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<table class="memberdecls">
<tr class="heading"><td colspan="2"><h2 class="groupheader"><a name="pub-methods"></a>
Public Member Functions</h2></td></tr>
<tr class="memitem:a5dce670364e0706a1573c3a758856d90"><td class="memItemLeft" align="right" valign="top"><a id="a5dce670364e0706a1573c3a758856d90"></a>
 </td><td class="memItemRight" valign="bottom"><b>Dynamics</b> (<a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> a, <a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> b, <a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> sigma, <a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> r0)</td></tr>
<tr class="separator:a5dce670364e0706a1573c3a758856d90"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:a60a311583ec80e34c921811428c9a208"><td class="memItemLeft" align="right" valign="top"><a id="a60a311583ec80e34c921811428c9a208"></a>
virtual <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_vasicek_1_1_dynamics.html#a60a311583ec80e34c921811428c9a208">variable</a> (<a class="el" href="group__types.html#ga14fb8fca43a68f4168654e1f9f7e22f7">Time</a>, <a class="el" href="group__types.html#gaede435af51236692b1107d7639581d39">Rate</a> r) const</td></tr>
<tr class="memdesc:a60a311583ec80e34c921811428c9a208"><td class="mdescLeft"> </td><td class="mdescRight">Compute state variable from short rate. <br /></td></tr>
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<tr class="memitem:a9dbc206e0d7b3e75778308986bf15b02"><td class="memItemLeft" align="right" valign="top"><a id="a9dbc206e0d7b3e75778308986bf15b02"></a>
virtual <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_vasicek_1_1_dynamics.html#a9dbc206e0d7b3e75778308986bf15b02">shortRate</a> (<a class="el" href="group__types.html#ga14fb8fca43a68f4168654e1f9f7e22f7">Time</a>, <a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> x) const</td></tr>
<tr class="memdesc:a9dbc206e0d7b3e75778308986bf15b02"><td class="mdescLeft"> </td><td class="mdescRight">Compute short rate from state variable. <br /></td></tr>
<tr class="separator:a9dbc206e0d7b3e75778308986bf15b02"><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 Vasicek model. </p>
<p>The short-rate follows an Ornstein-Uhlenbeck process with mean \( b \). </p>
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