- QuantLib
- TwoFactorModel
 
Abstract base-class for two-factor models. More...
#include <ql/models/shortrate/twofactormodel.hpp>

| Classes | |
| class | ShortRateDynamics | 
| Class describing the dynamics of the two state variables.  More... | |
| class | ShortRateTree | 
| Recombining two-dimensional tree discretizing the state variable.  More... | |
| Public Member Functions | |
| TwoFactorModel (Size nParams) | |
| virtual boost::shared_ptr < ShortRateDynamics > | dynamics () const =0 | 
| Returns the short-rate dynamics. | |
| boost::shared_ptr< Lattice > | tree (const TimeGrid &grid) const | 
| Returns a two-dimensional trinomial tree. | |
Abstract base-class for two-factor models.