ql/FiniteDifferences/onefactoroperator.hpp File Reference
Detailed Description
general differential operator for one-factor interest rate models
#include <ql/qldefines.hpp>
#include <ql/FiniteDifferences/tridiagonaloperator.hpp>
#include <ql/ShortRateModels/onefactormodel.hpp>
#include <ql/Math/transformedgrid.hpp>
#include <ql/FiniteDifferences/pdeshortrate.hpp>
Include dependency graph for onefactoroperator.hpp:

Namespaces | |
namespace | QuantLib |
Typedefs | |
typedef PdeOperator< PdeShortRate > | QuantLib::OneFactorOperator |
Interest-rate single factor model differential operator. |