Recombining two-dimensional tree discretizing the state variable. More...
#include <ql/models/shortrate/twofactormodel.hpp>
Inheritance diagram for TwoFactorModel::ShortRateTree:
Collaboration diagram for TwoFactorModel::ShortRateTree:
Public Member Functions | |
| ShortRateTree (const ext::shared_ptr< TrinomialTree > &tree1, const ext::shared_ptr< TrinomialTree > &tree2, const ext::shared_ptr< ShortRateDynamics > &dynamics) | |
| Plain tree build-up from short-rate dynamics. More... | |
| DiscountFactor | discount (Size i, Size index) const |
| Public Member Functions inherited from TreeLattice2D< TwoFactorModel::ShortRateTree, TrinomialTree > | |
| TreeLattice2D (const ext::shared_ptr< TrinomialTree > &tree1, ext::shared_ptr< TrinomialTree > 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 |
Private Attributes | |
| ext::shared_ptr< ShortRateDynamics > | dynamics_ |
Additional Inherited Members | |
| Protected Member Functions inherited from TreeLattice2D< TwoFactorModel::ShortRateTree, TrinomialTree > | |
| 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 inherited from TreeLattice2D< TwoFactorModel::ShortRateTree, TrinomialTree > | |
| ext::shared_ptr< TrinomialTree > | tree1_ |
| ext::shared_ptr< TrinomialTree > | tree2_ |
| Protected Attributes inherited from TreeLattice< Impl > | |
| std::vector< Array > | statePrices_ |
| Protected Attributes inherited from Lattice | |
| TimeGrid | t_ |
Detailed Description
Recombining two-dimensional tree discretizing the state variable.
Definition at line 107 of file twofactormodel.hpp.
Constructor & Destructor Documentation
◆ ShortRateTree()
| ShortRateTree | ( | const ext::shared_ptr< TrinomialTree > & | tree1, |
| const ext::shared_ptr< TrinomialTree > & | tree2, | ||
| const ext::shared_ptr< ShortRateDynamics > & | dynamics | ||
| ) |
Plain tree build-up from short-rate dynamics.
Definition at line 42 of file twofactormodel.cpp.
Member Function Documentation
◆ discount()
| DiscountFactor discount | ( | Size | i, |
| Size | index | ||
| ) | const |
Member Data Documentation
◆ dynamics_
|
private |
Definition at line 127 of file twofactormodel.hpp.