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 > OneFactorOperator
 Interest-rate single factor model differential operator.