TwoFactorModel (3) Linux Manual Page

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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