commodityschwartzmodel.hpp File Reference

Schwartz (1997) one-factor model of the commodity price termstructure. More...

#include <qle/models/hwparametrization.hpp>
#include <qle/models/irmodel.hpp>
#include <qle/models/commodityschwartzparametrization.hpp>
#include <qle/models/commoditymodel.hpp>
#include <ql/math/comparison.hpp>

Classes
class	CommoditySchwartzModel

Detailed Description

Schwartz (1997) one-factor model of the commodity price termstructure.