dynamics (3) - Linux Manuals

dynamics: Single-factor short-rate model abstract class.

Command to display dynamics manual in Linux: $ man 3 dynamics

NAME

QuantLib::OneFactorModel - Single-factor short-rate model abstract class.

SYNOPSIS

#include <ql/models/shortrate/onefactormodel.hpp>

Inherits QuantLib::ShortRateModel.

Inherited by BlackKarasinski, and OneFactorAffineModel.

Classes

class ShortRateDynamics
Base class describing the short-rate dynamics.
class ShortRateTree
Recombining trinomial tree discretizing the state variable.

Public Member Functions

OneFactorModel (Size nArguments)

virtual boost::shared_ptr< ShortRateDynamics > dynamics () const =0
returns the short-rate dynamics
boost::shared_ptr< Lattice > tree (const TimeGrid &grid) const
Return by default a trinomial recombining tree.

Detailed Description

Single-factor short-rate model abstract class.

Author

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