QuantLib_OneFactorModel_ShortRateTree man page

OneFactorModel::ShortRateTree — Recombining trinomial tree discretizing the state variable.

Synopsis

#include <ql/models/shortrate/onefactormodel.hpp>

Inherits TreeLattice1D< OneFactorModel::ShortRateTree >.

Public Member Functions

ShortRateTree (const boost::shared_ptr< TrinomialTree > &tree, const boost::shared_ptr< ShortRateDynamics > &dynamics, const TimeGrid &timeGrid)
Plain tree build-up from short-rate dynamics.
ShortRateTree (const boost::shared_ptr< TrinomialTree > &tree, const boost::shared_ptr< ShortRateDynamics > &dynamics, const boost::shared_ptr< TermStructureFittingParameter::NumericalImpl > &phi, const TimeGrid &timeGrid)
Tree build-up + numerical fitting to term-structure.
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

Additional Inherited Members

Detailed Description

Recombining trinomial tree discretizing the state variable.

Author

Generated automatically by Doxygen for QuantLib from the source code.

Referenced By

ShortRateTree(3) is an alias of QuantLib_OneFactorModel_ShortRateTree(3).

Fri Sep 23 2016 Version 1.8.1 QuantLib