Recombining trinomial tree discretizing the state variable. More...
#include <ql/models/shortrate/onefactormodel.hpp>
Inheritance diagram for OneFactorModel::ShortRateTree:
Collaboration diagram for OneFactorModel::ShortRateTree:
Public Member Functions | |
| ShortRateTree (const ext::shared_ptr< TrinomialTree > &tree, ext::shared_ptr< ShortRateDynamics > dynamics, const TimeGrid &timeGrid) | |
| Plain tree build-up from short-rate dynamics. More... | |
| ShortRateTree (const ext::shared_ptr< TrinomialTree > &tree, ext::shared_ptr< ShortRateDynamics > dynamics, const ext::shared_ptr< TermStructureFittingParameter::NumericalImpl > &phi, const TimeGrid &timeGrid) | |
| Tree build-up + numerical fitting to term-structure. More... | |
| Size | size (Size i) const |
| DiscountFactor | discount (Size i, Size index) const |
| Real | underlying (Size i, Size index) const |
| Size | descendant (Size i, Size index, Size branch) const |
| Real | probability (Size i, Size index, Size branch) const |
| void | setSpread (Spread spread) |
| Public Member Functions inherited from TreeLattice1D< OneFactorModel::ShortRateTree > | |
| TreeLattice1D (const TimeGrid &timeGrid, Size n) | |
| Array | grid (Time t) const override |
| Real | underlying (Size i, Size index) 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< TrinomialTree > | tree_ |
| ext::shared_ptr< ShortRateDynamics > | dynamics_ |
| Spread | spread_ |
Additional Inherited Members | |
| 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 TreeLattice< Impl > | |
| std::vector< Array > | statePrices_ |
| Protected Attributes inherited from Lattice | |
| TimeGrid | t_ |
Detailed Description
Recombining trinomial tree discretizing the state variable.
Definition at line 75 of file onefactormodel.hpp.
Constructor & Destructor Documentation
◆ ShortRateTree() [1/2]
| ShortRateTree | ( | const ext::shared_ptr< TrinomialTree > & | tree, |
| ext::shared_ptr< ShortRateDynamics > | dynamics, | ||
| const TimeGrid & | timeGrid | ||
| ) |
Plain tree build-up from short-rate dynamics.
Definition at line 80 of file onefactormodel.cpp.
◆ ShortRateTree() [2/2]
| ShortRateTree | ( | const ext::shared_ptr< TrinomialTree > & | tree, |
| ext::shared_ptr< ShortRateDynamics > | dynamics, | ||
| const ext::shared_ptr< TermStructureFittingParameter::NumericalImpl > & | phi, | ||
| const TimeGrid & | timeGrid | ||
| ) |
Tree build-up + numerical fitting to term-structure.
Definition at line 56 of file onefactormodel.cpp.
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Member Function Documentation
◆ size()
Definition at line 88 of file onefactormodel.hpp.
◆ discount()
| DiscountFactor discount | ( | Size | i, |
| Size | index | ||
| ) | const |
◆ underlying()
Definition at line 96 of file onefactormodel.hpp.
◆ descendant()
Definition at line 99 of file onefactormodel.hpp.
◆ probability()
Definition at line 102 of file onefactormodel.hpp.
◆ setSpread()
| void setSpread | ( | Spread | spread | ) |
Definition at line 105 of file onefactormodel.hpp.
Member Data Documentation
◆ tree_
|
private |
Definition at line 110 of file onefactormodel.hpp.
◆ dynamics_
|
private |
Definition at line 111 of file onefactormodel.hpp.
◆ spread_
|
private |
Definition at line 113 of file onefactormodel.hpp.