twofactormodel.hpp File Reference

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

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...
 

Namespaces

 QuantLib
 

Detailed Description

Abstract two-factor interest rate model class.