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

Hierarchy

Index

Constructors

constructor

Properties

Private _correlation

_correlation: Real

Private _xProcess

Private _yProcess

Methods

correlation

  • correlation(): Real
  • Returns Real

process

shortRate

  • Parameters

    Returns Rate

xProcess

yProcess