twofactormodel (3) - Linux Manuals

twofactormodel: Abstract two-factor interest rate model class.

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

NAME

ql/models/shortrate/twofactormodel.hpp - Abstract two-factor interest rate model class.

SYNOPSIS

#include <ql/models/model.hpp>
#include <ql/methods/lattices/lattice2d.hpp>

Classes

class TwoFactorModel
Abstract base-class for two-factor models.
class ShortRateDynamics
Class describing the dynamics of the two state variables.
class ShortRateTree
Recombining two-dimensional tree discretizing the state variable.

Detailed Description

Abstract two-factor interest rate model class.

Author

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