onefactoroperator.hpp

Langue: en

Autres versions - même langue

Version: 373185 (fedora - 01/12/10)

Section: 3 (Bibliothèques de fonctions)

Sommaire

NAME

ql/methods/finitedifferences/onefactoroperator.hpp -

general differential operator for one-factor interest rate models

SYNOPSIS


#include <ql/methods/finitedifferences/tridiagonaloperator.hpp>
#include <ql/models/shortrate/onefactormodel.hpp>
#include <ql/math/transformedgrid.hpp>
#include <ql/methods/finitedifferences/pdeshortrate.hpp>

Typedefs


typedef PdeOperator< PdeShortRate > OneFactorOperator
Interest-rate single factor model differential operator.

Detailed Description

general differential operator for one-factor interest rate models

Author

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