ql/models/shortrate/twofactormodel.hpp File Reference

Abstract two-factor interest rate model class. More...

#include <ql/models/model.hpp>
#include <ql/methods/lattices/lattice2d.hpp>

Include dependency graph for twofactormodel.hpp:


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...

Detailed Description

Abstract two-factor interest rate model class.