OneFactorModel (3) - Linux Manuals
OneFactorModel: Single-factor short-rate model abstract class.
NAME
QuantLib::OneFactorModel - Single-factor short-rate model abstract class.
SYNOPSIS
#include <ql/models/shortrate/onefactormodel.hpp>
Inherits QuantLib::ShortRateModel.
Inherited by BlackKarasinski, and OneFactorAffineModel.
Classes
class ShortRateDynamics
Base class describing the short-rate dynamics.
class ShortRateTree
Recombining trinomial tree discretizing the state variable.
Public Member Functions
OneFactorModel (Size nArguments)
virtual boost::shared_ptr< ShortRateDynamics > dynamics () const =0
returns the short-rate dynamics
boost::shared_ptr< Lattice > tree (const TimeGrid &grid) const
Return by default a trinomial recombining tree.
Detailed Description
Single-factor short-rate model abstract class.
Author
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