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QuantLib_TwoFactorModel_ShortRateTree
Langue: en
Version: 373015 (fedora - 01/12/10)
Section: 3 (Bibliothèques de fonctions)
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
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