QuantLib_TwoFactorModel_ShortRateTree man page

TwoFactorModel::ShortRateTree — Recombining two-dimensional tree discretizing the state variable.

Synopsis

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

Inherits TreeLattice2D< TwoFactorModel::ShortRateTree, TrinomialTree >.

Public Member Functions

ShortRateTree (const boost::shared_ptr< TrinomialTree > &tree1, const boost::shared_ptr< TrinomialTree > &tree2, const boost::shared_ptr< ShortRateDynamics > &dynamics)
Plain tree build-up from short-rate dynamics.
DiscountFactor discount (Size i, Size index) const

Additional Inherited Members

Detailed Description

Recombining two-dimensional tree discretizing the state variable.

Author

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Info

Fri Sep 23 2016 Version 1.8.1 QuantLib