QuantLib_TwoFactorModel_ShortRateTree (3) - Linux Man Pages

QuantLib_TwoFactorModel_ShortRateTree: Recombining two-dimensional tree discretizing the state variable.

NAME

QuantLib::TwoFactorModel::ShortRateTree - Recombining two-dimensional tree discretizing the state variable.

SYNOPSIS


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

Inherits TreeLattice2D< TwoFactorModel::ShortRateTree, TrinomialTree >.

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

Detailed Description

Recombining two-dimensional tree discretizing the state variable.

Author

Generated automatically by Doxygen for QuantLib from the source code.