QuantLib 0.3.8
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Reference manual
TwoFactorModel Class Reference
[Short-rate modelling framework]
#include <ql/ShortRateModels/twofactormodel.hpp>
Inheritance diagram for TwoFactorModel:
Detailed Description
Abstract base-class for two-factor models.
Public Member Functions | |
| TwoFactorModel (Size nParams) | |
|
virtual boost::shared_ptr< ShortRateDynamics > | dynamics () const =0 |
| Returns the short-rate dynamics. | |
|
virtual boost::shared_ptr< Lattice > | tree (const TimeGrid &grid) const |
| Returns a two-dimensional trinomial tree. | |
