QuantLib
A free/open-source library for quantitative finance
Reference manual - version 1.6
Classes | Public Member Functions | List of all members
TwoFactorModel Class Referenceabstract

Abstract base-class for two-factor models. More...

#include <ql/models/shortrate/twofactormodel.hpp>

+ Inheritance diagram for TwoFactorModel:

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< ShortRateDynamicsdynamics () const =0
 Returns the short-rate dynamics.
 
boost::shared_ptr< Latticetree (const TimeGrid &grid) const
 Returns a two-dimensional trinomial tree.
 
- Public Member Functions inherited from ShortRateModel
 ShortRateModel (Size nArguments)
 
- Public Member Functions inherited from CalibratedModel
 CalibratedModel (Size nArguments)
 
void update ()
 
virtual void calibrate (const std::vector< boost::shared_ptr< CalibrationHelper > > &, OptimizationMethod &method, const EndCriteria &endCriteria, const Constraint &constraint=Constraint(), const std::vector< Real > &weights=std::vector< Real >(), const std::vector< bool > &fixParameters=std::vector< bool >())
 Calibrate to a set of market instruments (usually caps/swaptions) More...
 
Real value (const Array &params, const std::vector< boost::shared_ptr< CalibrationHelper > > &)
 
const boost::shared_ptr< Constraint > & constraint () const
 
EndCriteria::Type endCriteria () const
 Returns end criteria result.
 
Disposable< Arrayparams () const
 Returns array of arguments on which calibration is done.
 
virtual void setParams (const Array &params)
 
- Public Member Functions inherited from Observer
 Observer (const Observer &)
 
Observeroperator= (const Observer &)
 
std::pair< std::set< boost::shared_ptr< Observable > >::iterator, bool > registerWith (const boost::shared_ptr< Observable > &)
 
void registerWithObservables (const boost::shared_ptr< Observer > &)
 
Size unregisterWith (const boost::shared_ptr< Observable > &)
 
void unregisterWithAll ()
 
- Public Member Functions inherited from Observable
 Observable (const Observable &)
 
Observableoperator= (const Observable &)
 
void notifyObservers ()
 

Additional Inherited Members

- Protected Member Functions inherited from CalibratedModel
virtual void generateArguments ()
 
- Protected Attributes inherited from CalibratedModel
std::vector< Parameterarguments_
 
boost::shared_ptr< Constraintconstraint_
 
EndCriteria::Type shortRateEndCriteria_
 

Detailed Description

Abstract base-class for two-factor models.