TwoFactorModel Class Reference
[Short-rate modelling framework]
Abstract base-class for two-factor models.
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#include <ql/models/shortrate/twofactormodel.hpp>
Inheritance diagram for TwoFactorModel:

Classes | |
| class | ShortRateDynamics |
| Class describing the dynamics of the two state variables. More... | |
| class | ShortRateTree |
| Recombining two-dimensional tree discretizing the state variable. More... | |
Public Member Functions | |
| TwoFactorModel (Size nParams) | |
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virtual boost::shared_ptr < ShortRateDynamics > | dynamics () const =0 |
| Returns the short-rate dynamics. | |
| boost::shared_ptr< Lattice > | tree (const TimeGrid &grid) const |
| Returns a two-dimensional trinomial tree. | |
Detailed Description
Abstract base-class for two-factor models.