Two-dimensional tree-based lattice. More...

#include <lattice2d.hpp>

Inheritance diagram for TreeLattice2D< Impl, T >:

Collaboration diagram for TreeLattice2D< Impl, T >:

Public Member Functions
	TreeLattice2D (const ext::shared_ptr< T > &tree1, ext::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

Public Member Functions inherited from TreeLattice< Impl >
	TreeLattice (const TimeGrid &timeGrid, Size n)

void	initialize (DiscretizedAsset &, Time t) const override
	initialize an asset at the given time. More...

void	rollback (DiscretizedAsset &, Time to) const override

void	partialRollback (DiscretizedAsset &, Time to) const override

Real	presentValue (DiscretizedAsset &) const override
	Computes the present value of an asset using Arrow-Debrew prices. More...

const Array &	statePrices (Size i) const

void	stepback (Size i, const Array &values, Array &newValues) const

Public Member Functions inherited from Lattice
	Lattice (TimeGrid timeGrid)

virtual	~Lattice ()=default

const TimeGrid &	timeGrid () const

Protected Member Functions
Array	grid (Time) const override

Protected Member Functions inherited from TreeLattice< Impl >
void	computeStatePrices (Size until) const

Protected Member Functions inherited from CuriouslyRecurringTemplate< Impl >
	CuriouslyRecurringTemplate ()=default

	~CuriouslyRecurringTemplate ()=default

Impl &	impl ()

const Impl &	impl () const

Protected Attributes
ext::shared_ptr< T >	tree1_

ext::shared_ptr< T >	tree2_

Protected Attributes inherited from TreeLattice< Impl >
std::vector< Array >	statePrices_

Protected Attributes inherited from Lattice
TimeGrid	t_

Private Attributes
Matrix	m_

Real	rho_

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.

Definition at line 42 of file lattice2d.hpp.

Constructor & Destructor Documentation

◆ TreeLattice2D()

TreeLattice2D	(	const ext::shared_ptr< T > &	tree1,
		ext::shared_ptr< T >	tree2,
		Real	correlation
	)

Definition at line 71 of file lattice2d.hpp.

Member Function Documentation

◆ size()

Size size ( Size i ) const

Definition at line 63 of file lattice2d.hpp.

◆ descendant()

Size descendant	(	Size	i,
		Size	index,
		Size	branch
	)		const

Definition at line 103 of file lattice2d.hpp.

◆ probability()

Real probability	(	Size	i,
		Size	index,
		Size	branch
	)		const

Definition at line 118 of file lattice2d.hpp.

◆ grid()

Array grid ( Time ) const

overrideprotectedvirtual

Implements Lattice.

Definition at line 52 of file lattice2d.hpp.

Member Data Documentation

◆ tree1_

ext::shared_ptr<T> tree1_

protected

Definition at line 50 of file lattice2d.hpp.

◆ tree2_

ext::shared_ptr<T> tree2_

protected

Definition at line 50 of file lattice2d.hpp.

◆ m_

Matrix m_

private

Definition at line 55 of file lattice2d.hpp.

◆ rho_

Real rho_