The only methods that must be implemented by subclasses
are the numeraire and zerobond methods for an input array
of state variable values. The variable $y$ is understood
to be the standardized (zero mean, unit variance) version
of the model's original state variable $x$.
NTL support may be enabled by defining GAUSS1D_ENABLE_NTL in this
file. For details on NTL see
http://www.shoup.net/ntl/
warning the variance of the state process conditional on
$x(t)=x$ must be independent of the value of $x$
Generates a grid of values for the standardized state variable $y$
at time $T$
conditional on $y(t)=y$, covering yStdDevs standard deviations
consisting of
2*gridPoints+1 points
One factor interest rate model interface class
The only methods that must be implemented by subclasses are the numeraire and zerobond methods for an input array of state variable values. The variable $y$ is understood to be the standardized (zero mean, unit variance) version of the model's original state variable $x$.
NTL support may be enabled by defining GAUSS1D_ENABLE_NTL in this file. For details on NTL see http://www.shoup.net/ntl/
warning the variance of the state process conditional on $x(t)=x$ must be independent of the value of $x$