twofactormodel.hpp File Reference

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

#include <ql/methods/lattices/lattice2d.hpp>
#include <ql/models/model.hpp>
#include <utility>

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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
namespace	QuantLib

Detailed Description

Abstract two-factor interest rate model class.

Definition in file twofactormodel.hpp.