QuantLib_TwoFactorModel man page
TwoFactorModel — Abstract base-class for two-factor models.
Inherited by G2.
Class describing the dynamics of the two state variables.
Recombining two-dimensional tree discretizing the state variable.
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.
Additional Inherited Members
Abstract base-class for two-factor models.
Generated automatically by Doxygen for QuantLib from the source code.
TwoFactorModel(3) is an alias of QuantLib_TwoFactorModel(3).