QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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Abstract one-factor interest rate model class. More...
#include <ql/methods/lattices/lattice1d.hpp>
#include <ql/methods/lattices/trinomialtree.hpp>
#include <ql/models/model.hpp>
#include <utility>
Go to the source code of this file.
Classes | |
class | OneFactorModel |
Single-factor short-rate model abstract class. More... | |
class | OneFactorModel::ShortRateDynamics |
Base class describing the short-rate dynamics. More... | |
class | OneFactorModel::ShortRateTree |
Recombining trinomial tree discretizing the state variable. More... | |
class | OneFactorAffineModel |
Single-factor affine base class. More... | |
Namespaces | |
namespace | QuantLib |
Abstract one-factor interest rate model class.
Definition in file onefactormodel.hpp.