QuantLib
A free/open-source library for quantitative finance
Reference manual - version 1.20
Public Member Functions | List of all members
OneFactorModel::ShortRateTree Class Reference

Recombining trinomial tree discretizing the state variable. More...

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

+ Inheritance diagram for OneFactorModel::ShortRateTree:

Public Member Functions

 ShortRateTree (const ext::shared_ptr< TrinomialTree > &tree, const ext::shared_ptr< ShortRateDynamics > &dynamics, const TimeGrid &timeGrid)
 Plain tree build-up from short-rate dynamics.
 
 ShortRateTree (const ext::shared_ptr< TrinomialTree > &tree, const ext::shared_ptr< ShortRateDynamics > &dynamics, const ext::shared_ptr< TermStructureFittingParameter::NumericalImpl > &phi, const TimeGrid &timeGrid)
 Tree build-up + numerical fitting to term-structure.
 
Size size (Size i) const
 
DiscountFactor discount (Size i, Size index) const
 
Real underlying (Size i, Size index) const
 
Size descendant (Size i, Size index, Size branch) const
 
Real probability (Size i, Size index, Size branch) const
 
void setSpread (Spread spread)
 
- Public Member Functions inherited from TreeLattice1D< OneFactorModel::ShortRateTree >
 TreeLattice1D (const TimeGrid &timeGrid, Size n)
 
Disposable< Arraygrid (Time t) const
 
Real underlying (Size i, Size index) const
 
- Public Member Functions inherited from TreeLattice< OneFactorModel::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 ArraystatePrices (Size i) const
 
void stepback (Size i, const Array &values, Array &newValues) const
 
- Public Member Functions inherited from Lattice
 Lattice (const TimeGrid &timeGrid)
 
const TimeGridtimeGrid () const
 

Additional Inherited Members

- Protected Member Functions inherited from TreeLattice< OneFactorModel::ShortRateTree >
void computeStatePrices (Size until) const
 
- Protected Member Functions inherited from CuriouslyRecurringTemplate< OneFactorModel::ShortRateTree >
OneFactorModel::ShortRateTreeimpl ()
 
const OneFactorModel::ShortRateTreeimpl () const
 
- Protected Attributes inherited from TreeLattice< OneFactorModel::ShortRateTree >
std::vector< ArraystatePrices_
 
- Protected Attributes inherited from Lattice
TimeGrid t_
 

Detailed Description

Recombining trinomial tree discretizing the state variable.