ql/models/shortrate/twofactormodel.hpp File Reference
Detailed Description
Abstract two-factor interest rate model class.
#include <ql/stochasticprocess.hpp>
#include <ql/models/model.hpp>
#include <ql/methods/lattices/lattice2d.hpp>
Include dependency graph for twofactormodel.hpp:

Namespaces | |
namespace | QuantLib |
Classes | |
class | TwoFactorModel |
Abstract base-class for two-factor models. More... | |
class | TwoFactorModel::ShortRateDynamics |
Class describing the dynamics of the two state variables. More... | |
class | TwoFactorModel::ShortRateTree |
Recombining two-dimensional tree discretizing the state variable. More... |