ql/ShortRateModels/twofactormodel.hpp File Reference
Detailed Description
Abstract two-factor interest rate model class.
#include <ql/stochasticprocess.hpp>
#include <ql/ShortRateModels/model.hpp>
#include <ql/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... | |