Recombining two-dimensional tree discretizing the state variable. More...
#include <ql/models/shortrate/twofactormodel.hpp>
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 |
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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 |
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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 |
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Lattice (const TimeGrid &timeGrid) | |
const TimeGrid & | timeGrid () const |
Additional Inherited Members | |
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Disposable< Array > | grid (Time) const |
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void | computeStatePrices (Size until) const |
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TwoFactorModel::ShortRateTree & | impl () |
const TwoFactorModel::ShortRateTree & | impl () const |
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ext::shared_ptr< TrinomialTree > | tree1_ |
ext::shared_ptr< TrinomialTree > | tree2_ |
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std::vector< Array > | statePrices_ |
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TimeGrid | t_ |
Recombining two-dimensional tree discretizing the state variable.