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onefactoroperator.hpp File Reference

Detailed Description

general differential operator for one-factor interest rate models

Definition in file onefactoroperator.hpp.

#include <ql/methods/finitedifferences/tridiagonaloperator.hpp>
#include <ql/models/shortrate/onefactormodel.hpp>
#include <ql/math/transformedgrid.hpp>
#include <ql/methods/finitedifferences/pdeshortrate.hpp>

Go to the source code of this file.


namespace  QuantLib


typedef PdeOperator< PdeShortRate > QuantLib::OneFactorOperator
 Interest-rate single factor model differential operator.

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