![]() QuantLib 0.3.11Getting startedReference manual |
TwoFactorModel Class Reference |
Public Member Functions | |
TwoFactorModel (Size nParams) | |
virtual boost::shared_ptr< ShortRateDynamics > | dynamics () const =0 |
Returns the short-rate dynamics. | |
boost::shared_ptr< NumericalMethod > | tree (const TimeGrid &grid) const |
Returns a two-dimensional trinomial tree. | |
Classes | |
class | ShortRateDynamics |
Class describing the dynamics of the two state variables. More... | |
class | ShortRateTree |
Recombining two-dimensional tree discretizing the state variable. More... |
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