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Sourcecode: quantlib version File versions

onefactormodel.hpp File Reference


Detailed Description

Abstract one-factor interest rate model class.

Definition in file onefactormodel.hpp.

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

Go to the source code of this file.

Namespaces

namespace  QuantLib

Classes

class  QuantLib::OneFactorAffineModel
 Single-factor affine base class. More...
class  QuantLib::OneFactorModel
 Single-factor short-rate model abstract class. More...
class  QuantLib::OneFactorModel::ShortRateDynamics
 Base class describing the short-rate dynamics. More...
class  QuantLib::OneFactorModel::ShortRateTree
 Recombining trinomial tree discretizing the state variable. More...


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