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QuantLib_TreeLattice2D
Langue: en
Version: 374518 (fedora - 01/12/10)
Section: 3 (Bibliothèques de fonctions)
Sommaire
NAME
QuantLib::TreeLattice2D -Two-dimensional tree-based lattice.
SYNOPSIS
#include <ql/methods/lattices/lattice2d.hpp>
Inherits QuantLib::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
Disposable< Array > grid (Time) const
Protected Attributes
boost::shared_ptr< T > tree1_
boost::shared_ptr< T > tree2_
Detailed Description
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.
Author
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