equity process under stochastic interest rates

[Stijn_Oude_Brunink]

Hi,

I do need an equity process under stochastic interest rates. Something like


dS/S=(r(t)+a)dt+vdW


As far as I can see this is not standard in ql. I suppose I can make
something myself using th ql classes as building blocks but that far from
optimal.

regards

Stijn
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[Luigi Ballabio]

On Wed, 2007-01-31 at 14:16 +0100, [hidden email]
wrote:
> I do need an equity process under stochastic interest rates. Something like
>
> dS/S=(r(t)+a)dt+vdW

Stijn,
        do you mean "stochastic" or "time-dependent" interest rates? Shouldn't
stochastic rates need another random factor in the above formula?

Later,
        Luigi


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