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