TreeLattice2D (3) - Linux Manuals

TreeLattice2D: Two-dimensional tree-based lattice.

NAME

QuantLib::TreeLattice2D - Two-dimensional tree-based lattice.

SYNOPSIS

#include <ql/methods/lattices/lattice2d.hpp>

Inherits 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 >

This lattice is based on two trinomial trees and primarily used for the G2 short-rate model.

Author

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