Posted by
Luigi Ballabio on
URL: http://quantlib.414.s1.nabble.com/What-does-x0-represent-in-a-Process-for-ShortRateDynamics-tp1403p1404.html
Apologies for the delay.
On Thu, 2007-09-20 at 13:03 -0700, newbie73 wrote:
> 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] ?
process->x0() returns the value of the underlying variable at time 0.
process->shortRate(t, x) returns the short rate at time t when the state
variable has value x. Thus, process->shortRate(0.0, x0) returns the
short rate at time 0.
Luigi
--
fix, n.,v.
What one does when a problem has been reported too many times
to be ignored.
-- the Jargon file
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