org.jquantlib.model.shortrate.onefactormodels

Class OneFactorModel

java.lang.Object

org.jquantlib.model.CalibratedModel

org.jquantlib.model.shortrate.ShortRateModel

org.jquantlib.model.shortrate.onefactormodels.OneFactorModel

All Implemented Interfaces:

Observable, Observer

Direct Known Subclasses:

BlackKarasinski, OneFactorAffineModel

public abstract class OneFactorModel
extends ShortRateModel

Single-factor short-rate model abstract class

Constructor Summary

Constructors

Constructor and Description
OneFactorModel(int nArguments)

Method Summary

Modifier and Type	Method and Description
abstract org.jquantlib.model.shortrate.onefactormodels.OneFactorModel.ShortRateDynamics	dynamics() Returns the short-rate dynamics
Lattice	tree(TimeGrid grid) Return by default a trinomial recombining tree.

Methods inherited from class org.jquantlib.model.CalibratedModel

addObserver, calibrate, constraint, countObservers, deleteObserver, deleteObservers, endCriteria, getObservers, notifyObservers, notifyObservers, params, setParams, update, value

Methods inherited from class java.lang.Object

equals, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait

Constructor Detail

OneFactorModel

public OneFactorModel(int nArguments)

Method Detail

tree

public Lattice tree(TimeGrid grid)

Return by default a trinomial recombining tree.

Specified by:

tree in class ShortRateModel

dynamics

public abstract org.jquantlib.model.shortrate.onefactormodels.OneFactorModel.ShortRateDynamics dynamics()

Returns the short-rate dynamics