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 \( \rho \) 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.
\[ r_t = f(t, x_t, y_t) \]
of two state variables \( x_t \) and \( y_t \). These stochastic processes satisfy
\[ x_t = \mu_x(t, x_t)dt + \sigma_x(t, x_t) dW_t^x \]
and
\[ y_t = \mu_y(t,y_t)dt + \sigma_y(t, y_t) dW_t^y \]
where \( W^x \) and \( W^y \) are two brownian motions satisfying
\[ dW^x_t dW^y_t = \rho dt \]
.