ShortRateTree (3) - Linux Manuals

ShortRateTree: Recombining trinomial tree discretizing the state variable.

NAME

QuantLib::OneFactorModel::ShortRateTree - Recombining trinomial tree discretizing the state variable.

SYNOPSIS

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

Inherits TreeLattice1D< OneFactorModel::ShortRateTree >.

Public Member Functions

ShortRateTree (const boost::shared_ptr< TrinomialTree > &tree, const boost::shared_ptr< ShortRateDynamics > &dynamics, const TimeGrid &timeGrid)
Plain tree build-up from short-rate dynamics.
ShortRateTree (const boost::shared_ptr< TrinomialTree > &tree, const boost::shared_ptr< ShortRateDynamics > &dynamics, const boost::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

Detailed Description

Recombining trinomial tree discretizing the state variable.

Author

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