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Sourcecode: quantlib version File versions

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.


namespace  QuantLib


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...

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