QuantLib_TwoFactorModel (3) - Linux Man Pages
QuantLib_TwoFactorModel: Abstract base-class for two-factor models.
QuantLib::TwoFactorModel - Abstract base-class for two-factor models.
Inherited by G2.
Public Member Functions
TwoFactorModel (Size nParams)
virtual boost::shared_ptr< ShortRateDynamics > dynamics () const =0
Returns the short-rate dynamics.
boost::shared_ptr< Lattice > tree (const TimeGrid &grid) const
Returns a two-dimensional trinomial tree.
Abstract base-class for two-factor models.
Generated automatically by Doxygen for QuantLib from the source code.