TwoFactorModel (3) - Linux Manuals
TwoFactorModel: Abstract base-class for two-factor models.
NAME
QuantLib::TwoFactorModel - Abstract base-class for two-factor models.
SYNOPSIS
#include <ql/models/shortrate/twofactormodel.hpp>
Inherits QuantLib::ShortRateModel.
Inherited by G2.
Classes
class ShortRateDynamics
Class describing the dynamics of the two state variables.
class ShortRateTree
Recombining two-dimensional tree discretizing the state variable.
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.
Detailed Description
Abstract base-class for two-factor models.
Author
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