onefactormodel (3) - Linux Manuals

onefactormodel: Abstract one-factor interest rate model class.

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

NAME

ql/models/shortrate/onefactormodel.hpp - Abstract one-factor interest rate model class.

SYNOPSIS

#include <ql/models/model.hpp>
#include <ql/methods/lattices/lattice1d.hpp>
#include <ql/methods/lattices/trinomialtree.hpp>

Classes

class OneFactorModel
Single-factor short-rate model abstract class.
class ShortRateDynamics
Base class describing the short-rate dynamics.
class ShortRateTree
Recombining trinomial tree discretizing the state variable.
class OneFactorAffineModel
Single-factor affine base class.

Detailed Description

Abstract one-factor interest rate model class.

Author

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