QuantLib_TreeLattice2D man page

TreeLattice2D< Impl, T > — 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 >" Two-dimensional tree-based lattice.

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

Author

Generated automatically by Doxygen for QuantLib from the source code.

Referenced By

tree1_(3), tree2_(3) and TreeLattice2D(3) are aliases of QuantLib_TreeLattice2D(3).

Fri Sep 23 2016 Version 1.8.1 QuantLib