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onefactormodel.hpp
Langue: en
Version: 151127 (fedora - 04/07/09)
Section: 3 (Bibliothèques de fonctions)
NAME
ql/models/shortrate/onefactormodel.hpp - Abstract one-factor interest rate model class.SYNOPSIS
#include <ql/models/model.hpp>
#include <ql/methods/lattices/lattice1d.hpp>
#include <ql/methods/lattices/trinomialtree.hpp>
Classes
class OneFactorModel
Single-factor short-rate model abstract class.
class OneFactorModel::ShortRateDynamics
Base class describing the short-rate dynamics.
class OneFactorModel::ShortRateTree
Recombining trinomial tree discretizing the state variable.
class OneFactorAffineModel
Single-factor affine base class.
Detailed Description
Abstract one-factor interest rate model class.
Author
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