QuantLib
A free/open-source library for quantitative finance
Reference manual - version 1.20
onefactormodels Directory Reference

Files

file  blackkarasinski.hpp
 Black-Karasinski model.
 
file  coxingersollross.hpp
 Cox-Ingersoll-Ross model.
 
file  extendedcoxingersollross.hpp
 Extended Cox-Ingersoll-Ross model.
 
file  gaussian1dmodel.hpp
 basic interface for one factor interest rate models
 
file  gsr.hpp
 GSR 1 factor model.
 
file  hullwhite.hpp
 Hull & White (HW) model.
 
file  markovfunctional.hpp
 Markov Functional 1 Factor Model.
 
file  vasicek.hpp
 Vasicek model class.