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

Detailed Description
Single-factor short-rate model abstract class.
Public Member Functions | |
| OneFactorModel (Size nArguments) | |
|
virtual boost::shared_ptr < ShortRateDynamics > | dynamics () const =0 |
| returns the short-rate dynamics | |
| boost::shared_ptr< Lattice > | tree (const TimeGrid &grid) const |
| Return by default a trinomial recombining tree. | |
Classes | |
| class | ShortRateDynamics |
| Base class describing the short-rate dynamics. More... | |
| class | ShortRateTree |
| Recombining trinomial tree discretizing the state variable. More... | |