ql/models/shortrate/onefactormodel.hpp File Reference


Detailed Description

Abstract one-factor interest rate model class.

#include <ql/stochasticprocess.hpp>
#include <ql/models/model.hpp>
#include <ql/methods/lattices/lattice1d.hpp>
#include <ql/methods/lattices/trinomialtree.hpp>

Include dependency graph for onefactormodel.hpp:


Namespaces

namespace  QuantLib

Classes

class  OneFactorModel
 Single-factor short-rate model abstract class. More...
class  OneFactorModel::ShortRateDynamics
 Base class describing the short-rate dynamics. More...
class  OneFactorModel::ShortRateTree
 Recombining trinomial tree discretizing the state variable. More...
class  OneFactorAffineModel
 Single-factor affine base class. More...