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... |