ShortRateModel Class Reference#include <ql/ShortRateModels/model.hpp>
Inheritance diagram for ShortRateModel:
[legend]List of all members.
Detailed Description
Abstract short-rate model class.
Member Function Documentation
void update |
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This method must be implemented in derived classes. An instance of Observer does not call this method directly: instead, it will be called by the observables the instance registered with when they need to notify any changes.
Implements Observer. |
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Calibrate to a set of market instruments (caps/swaptions).
An additional constraint can be passed which must be satisfied in addition to the constraints of the model. |
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