quantlib.models.shortrate.twofactor_model.

ShortRateDynamics¶

class ShortRateDynamics¶

Bases: object

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

$x_t = \mu_x(t, x_t)dt + \sigma_x(t, x_t) dW_t^x\\ y_t = \mu_y(t,y_t)dt + \sigma_y(t, y_t) dW_t^y$

where $W^x$ and $W^y$ are two brownian motions satisfying

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

Attributes:

Methods

short_rate(self, Time t, Real x, Real y)

Quantlib cython wrapper