ql/methods/finitedifferences/onefactoroperator.hpp File Reference


Detailed Description

general differential operator for one-factor interest rate models

#include <ql/methods/finitedifferences/tridiagonaloperator.hpp>
#include <ql/models/shortrate/onefactormodel.hpp>
#include <ql/math/transformedgrid.hpp>
#include <ql/methods/finitedifferences/pdeshortrate.hpp>

Include dependency graph for onefactoroperator.hpp:


Namespaces

namespace  QuantLib

Typedefs

typedef PdeOperator< PdeShortRate > OneFactorOperator
 Interest-rate single factor model differential operator.