Class Dynamics

Hierarchy

ShortRateDynamics
- Dynamics

Index

Constructors

constructor

Properties

_b

Methods

Constructors

constructor

new Dynamics(a: Real, b: Real, sigma: Real, r0: Real): Dynamics

Overrides ShortRateDynamics.constructor
- Defined in ql/models/shortrate/onefactormodels/vasicek.ts:114
Parameters
- a: Real
- b: Real
- sigma: Real
- r0: Real
Returns Dynamics

Properties

Private _b

_b: Real

Methods

process

process(): StochasticProcess1D

Inherited from ShortRateDynamics.process
- Defined in ql/models/shortrate/onefactormodel.ts:50
Returns StochasticProcess1D

shortRate

shortRate(t: Time, x: Real): Real

Overrides ShortRateDynamics.shortRate
- Defined in ql/models/shortrate/onefactormodels/vasicek.ts:124
Parameters
- t: Time
- x: Real
Returns Real

variable

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

Overrides ShortRateDynamics.variable
- Defined in ql/models/shortrate/onefactormodels/vasicek.ts:120
Parameters
- t: Time
- r: Rate
Returns Real