QuantLib_OneFactorModel_ShortRateTree (3) - Linux Manuals
QuantLib_OneFactorModel_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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