TwoFactorModel Class Reference
[Short-rate modelling framework]

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

Inheritance diagram for TwoFactorModel:

Inheritance graph
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List of all members.

Detailed Description

Abstract base-class for two-factor models.


Public Member Functions

 TwoFactorModel (Size nParams)
virtual boost::shared_ptr<
ShortRateDynamics
dynamics () const=0
 Returns the short-rate dynamics.
boost::shared_ptr< Latticetree (const TimeGrid &grid) const
 Returns a two-dimensional trinomial tree.

Classes

class  ShortRateDynamics
 Class describing the dynamics of the two state variables. More...
class  ShortRateTree
 Recombining two-dimensional tree discretizing the state variable. More...