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
$$
dW^x_t dW^y_t = \rho dt
$$.
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 $$ dW^x_t dW^y_t = \rho dt $$.