TwoFactorModel Class Reference
[Short-rate modelling framework]

#include <ql/ShortRateModels/twofactormodel.hpp>

Inheritance diagram for TwoFactorModel:

Inheritance graph
[legend]
List of all members.

Detailed Description

Abstract base-class for two-factor models.


Public Member Functions

 TwoFactorModel (Size nParams)
virtual boost::shared_ptr<
ShortRateDynamics
dynamics () const =0
 Returns the short-rate dynamics.

virtual boost::shared_ptr<
Lattice
tree (const TimeGrid &grid) const
 Returns a two-dimensional trinomial tree.


QuantLib.org
QuantLib
Hosted by
SourceForge.net Logo
Documentation generated by
doxygen