QuantLib
A free/open-source library for quantitative finance
Reference manual - version 1.12
Public Member Functions | List of all members
TwoFactorModel::ShortRateTree Class Reference

Recombining two-dimensional tree discretizing the state variable. More...

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

+ Inheritance diagram for TwoFactorModel::ShortRateTree:

Public Member Functions

 ShortRateTree (const boost::shared_ptr< TrinomialTree > &tree1, const boost::shared_ptr< TrinomialTree > &tree2, const boost::shared_ptr< ShortRateDynamics > &dynamics)
 Plain tree build-up from short-rate dynamics.
 
DiscountFactor discount (Size i, Size index) const
 
- Public Member Functions inherited from TreeLattice2D< TwoFactorModel::ShortRateTree, TrinomialTree >
 TreeLattice2D (const boost::shared_ptr< TrinomialTree > &tree1, const boost::shared_ptr< TrinomialTree > &tree2, Real correlation)
 
Size size (Size i) const
 
Size descendant (Size i, Size index, Size branch) const
 
Real probability (Size i, Size index, Size branch) const
 
- Public Member Functions inherited from TreeLattice< TwoFactorModel::ShortRateTree >
 TreeLattice (const TimeGrid &timeGrid, Size n)
 
const ArraystatePrices (Size i) const
 
void stepback (Size i, const Array &values, Array &newValues) const
 
void initialize (DiscretizedAsset &, Time t) const
 initialize an asset at the given time.
 
void rollback (DiscretizedAsset &, Time to) const
 
void partialRollback (DiscretizedAsset &, Time to) const
 
Real presentValue (DiscretizedAsset &) const
 Computes the present value of an asset using Arrow-Debrew prices.
 
- Public Member Functions inherited from Lattice
 Lattice (const TimeGrid &timeGrid)
 
const TimeGridtimeGrid () const
 

Additional Inherited Members

- Protected Member Functions inherited from TreeLattice2D< TwoFactorModel::ShortRateTree, TrinomialTree >
Disposable< Arraygrid (Time) const
 
- Protected Member Functions inherited from TreeLattice< TwoFactorModel::ShortRateTree >
void computeStatePrices (Size until) const
 
- Protected Member Functions inherited from CuriouslyRecurringTemplate< TwoFactorModel::ShortRateTree >
TwoFactorModel::ShortRateTreeimpl ()
 
const TwoFactorModel::ShortRateTreeimpl () const
 
- Protected Attributes inherited from TreeLattice2D< TwoFactorModel::ShortRateTree, TrinomialTree >
boost::shared_ptr< TrinomialTreetree1_
 
boost::shared_ptr< TrinomialTreetree2_
 
- Protected Attributes inherited from TreeLattice< TwoFactorModel::ShortRateTree >
std::vector< ArraystatePrices_
 
- Protected Attributes inherited from Lattice
TimeGrid t_
 

Detailed Description

Recombining two-dimensional tree discretizing the state variable.