Recombining two-dimensional tree discretizing the state variable. More...
#include <ql/models/shortrate/twofactormodel.hpp>
 Inheritance diagram for TwoFactorModel::ShortRateTree:
 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 Array & | statePrices (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 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 > | |
| boost::shared_ptr< TrinomialTree > | tree1_ | 
| boost::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.