onefactormodel.hpp File Reference

Abstract one-factor interest rate model class. More...

Include dependency graph for onefactormodel.hpp:

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.