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twofactormodel.hpp
Langue: en
Version: 154392 (fedora - 05/07/09)
Section: 3 (Bibliothèques de fonctions)
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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