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 ext::shared_ptr< TrinomialTree > &tree1, const ext::shared_ptr< TrinomialTree > &tree2, const ext::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 ext::shared_ptr< TrinomialTree > &tree1, const ext::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) | |
| 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. | |
| const Array & | statePrices (Size i) const |
| void | stepback (Size i, const Array &values, Array &newValues) const |
Public Member Functions inherited from Lattice | |
| Lattice (const TimeGrid &timeGrid) | |
| const TimeGrid & | timeGrid () const |
Additional Inherited Members | |
Protected Member Functions inherited from TreeLattice2D< TwoFactorModel::ShortRateTree, TrinomialTree > | |
| Disposable< Array > | grid (Time) const |
Protected Member Functions inherited from TreeLattice< TwoFactorModel::ShortRateTree > | |
| void | computeStatePrices (Size until) const |
Protected Member Functions inherited from CuriouslyRecurringTemplate< TwoFactorModel::ShortRateTree > | |
| TwoFactorModel::ShortRateTree & | impl () |
| const TwoFactorModel::ShortRateTree & | impl () const |
Protected Attributes inherited from TreeLattice2D< TwoFactorModel::ShortRateTree, TrinomialTree > | |
| ext::shared_ptr< TrinomialTree > | tree1_ |
| ext::shared_ptr< TrinomialTree > | tree2_ |
Protected Attributes inherited from TreeLattice< TwoFactorModel::ShortRateTree > | |
| std::vector< Array > | statePrices_ |
Protected Attributes inherited from Lattice | |
| TimeGrid | t_ |
Recombining two-dimensional tree discretizing the state variable.