Class ShortRateDynamics

Hierarchy

ShortRateDynamics
- Dynamics
- Dynamics
- Dynamics
- Dynamics

Index

Constructors

constructor

Properties

_process

Methods

Constructors

constructor

new ShortRateDynamics(process: StochasticProcess1D): ShortRateDynamics

- Defined in ql/models/shortrate/onefactormodel.ts:37
Parameters
- process: StochasticProcess1D
Returns ShortRateDynamics

Properties

Private _process

_process: StochasticProcess1D

Methods

process

process(): StochasticProcess1D

- Defined in ql/models/shortrate/onefactormodel.ts:50
Returns StochasticProcess1D

shortRate

shortRate(t: Time, variable: Real): Rate

- Defined in ql/models/shortrate/onefactormodel.ts:46
Parameters
- t: Time
- variable: Real
Returns Rate

variable

variable(t: Time, r: Rate): Real

- Defined in ql/models/shortrate/onefactormodel.ts:42
Parameters
- t: Time
- r: Rate
Returns Real