TwoFactorModel Class Reference
[Short-rate modelling framework]
#include <ql/models/shortrate/twofactormodel.hpp>
Inheritance diagram for TwoFactorModel:

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< Lattice > | tree (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... |