OneFactorModel Class Reference
[Short-rate modelling framework]

#include <ql/models/shortrate/onefactormodel.hpp>

Inheritance diagram for OneFactorModel:

Inheritance graph
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List of all members.

Detailed Description

Single-factor short-rate model abstract class.


Public Member Functions

 OneFactorModel (Size nArguments)
virtual boost::shared_ptr<
ShortRateDynamics
dynamics () const=0
 returns the short-rate dynamics
boost::shared_ptr< Latticetree (const TimeGrid &grid) const
 Return by default a trinomial recombining tree.

Classes

class  ShortRateDynamics
 Base class describing the short-rate dynamics. More...
class  ShortRateTree
 Recombining trinomial tree discretizing the state variable. More...