twofactormodel.hpp

Langue: en

Autres versions - même langue

Version: 374747 (fedora - 01/12/10)

Section: 3 (Bibliothèques de fonctions)

Sommaire

NAME

ql/models/shortrate/twofactormodel.hpp -

Abstract two-factor interest rate model class.

SYNOPSIS


#include <ql/models/model.hpp>
#include <ql/methods/lattices/lattice2d.hpp>

Classes


class TwoFactorModel
Abstract base-class for two-factor models.
class TwoFactorModel::ShortRateDynamics
Class describing the dynamics of the two state variables.
class TwoFactorModel::ShortRateTree
Recombining two-dimensional tree discretizing the state variable.

Detailed Description

Abstract two-factor interest rate model class.

Author

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