QuantLib_TwoFactorModel_ShortRateTree

Langue: en

Autres versions - même langue

Version: 150852 (fedora - 04/07/09)

Section: 3 (Bibliothèques de fonctions)

Sommaire

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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