TwoFactorModel Class Reference

#include <twofactormodel.hpp>

Inheritance diagram for TwoFactorModel:

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List of all members.

Detailed Description

Abstract base-class for two-factor models.


Public Member Functions

 TwoFactorModel (Size nParams)
virtual Handle< ShortRateDynamicsdynamics () const=0
 Returns the short-rate dynamics.

virtual Handle< Lattices::Latticetree (const TimeGrid &grid) const
 Returns a two-dimensional trinomial tree.


The documentation for this class was generated from the following files:

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