TreeLattice2D (3) - Linux Man Pages
TreeLattice2D: Two-dimensional tree-based lattice.
QuantLib::TreeLattice2D - Two-dimensional tree-based lattice.
Inherits TreeLattice< Impl >.
Public Member Functions
TreeLattice2D (const boost::shared_ptr< T > &tree1, const boost::shared_ptr< T > &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
Protected Member Functions
template<class Impl, class T = TrinomialTree> class QuantLib::TreeLattice2D< Impl, T >Two-dimensional tree-based lattice.
This lattice is based on two trinomial trees and primarily used for the G2 short-rate model.
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