Logo Search packages:      
Sourcecode: quantlib version File versions  Download package

twofactormodel.hpp File Reference


Detailed Description

Abstract two-factor interest rate model class.

Definition in file twofactormodel.hpp.

#include <ql/stochasticprocess.hpp>
#include <ql/ShortRateModels/model.hpp>
#include <ql/Lattices/lattice2d.hpp>

Go to the source code of this file.

Namespaces

namespace  QuantLib

Classes

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


Generated by  Doxygen 1.6.0   Back to index