Abstract two-factor interest rate model class. More...
#include <ql/models/model.hpp>#include <ql/methods/lattices/lattice2d.hpp>
Classes | |
| class | TwoFactorModel |
| Abstract base-class for two-factor models. More... | |
| class | TwoFactorModel::ShortRateDynamics |
| Class describing the dynamics of the two state variables. More... | |
| class | TwoFactorModel::ShortRateTree |
| Recombining two-dimensional tree discretizing the state variable. More... | |
Abstract two-factor interest rate model class.