QuantLib_TwoFactorModel_ShortRateTree (3) Linux Manual Page

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

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