What does x0 represent in a Process for ShortRateDynamics?
Posted by newbie73 on
URL: http://quantlib.414.s1.nabble.com/What-does-x0-represent-in-a-Process-for-ShortRateDynamics-tp1403.html
I've been trying to understand more about the mechanics of the Short Rate Models. Can someone give a high level explanation of the Process class and how the ShortRateDynamics class uses it to determine the theoretical value of the short rate?
I am assuming that x0 refers to the maturity in years of the short rate, correct? So the call:
r0 = dynamics()->process().shortRate(0.0, x0)
is requesting the theoretical short rate from time = [0.0, x0] ?
discount(Time t)
{
x0 = dynamics()->process().x0
r0 = dynamics()->process().shortRate(0.0, x0)
return discountBond(0.0, t, r0)
}