onefactoroperator (3) - Linux Manuals

onefactoroperator: general differential operator for one-factor interest rate models

Command to display onefactoroperator manual in Linux: $ man 3 onefactoroperator

NAME

ql/methods/finitedifferences/onefactoroperator.hpp - general differential operator for one-factor interest rate models

SYNOPSIS

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

Typedefs

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

Detailed Description

general differential operator for one-factor interest rate models

Author

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