23#include <ql/models/shortrate/twofactormodels/g2.hpp>
24#include <ql/models/shortrate/onefactormodels/hullwhite.hpp>
25#include <ql/methods/finitedifferences/utilities/fdmaffinemodelswapinnervalue.hpp>
31 const ext::shared_ptr<HullWhite>& model,
Time t,
34 return { model->dynamics()->shortRate(t, mesher_->location(iter, direction_)) };
39 const ext::shared_ptr<G2>&,
Time,
43 mesher_->location(iter, direction_),
44 mesher_->location(iter, direction_+1)
1-D array used in linear algebra.
Array getState(const ext::shared_ptr< ModelType > &model, Time t, const FdmLinearOpIterator &iter) const
Real Time
continuous quantity with 1-year units