OneFactorModel::ShortRateTree Class Reference

#include <ql/ShortRateModels/onefactormodel.hpp>

Inheritance diagram for OneFactorModel::ShortRateTree:

Inheritance graph
[legend]
List of all members.

Detailed Description

Recombining trinomial tree discretizing the state variable.


Public Member Functions

 ShortRateTree (const boost::shared_ptr< Tree > &tree, const boost::shared_ptr< ShortRateDynamics > &dynamics, const TimeGrid &timeGrid)
 Plain tree build-up from short-rate dynamics.

 ShortRateTree (const boost::shared_ptr< Tree > &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
 Discount factor at time t_i and node indexed by index.


Protected Member Functions

Size descendant (Size i, Size index, Size branch) const
 Tree properties.

Real probability (Size i, Size index, Size branch) const


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