QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
Loading...
Searching...
No Matches
Classes | Namespaces
onefactormodel.hpp File Reference

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
 

Detailed Description

Abstract one-factor interest rate model class.

Definition in file onefactormodel.hpp.