OneFactorModel::ShortRateTree Class Reference#include <ql/ShortRateModels/onefactormodel.hpp>
Inheritance diagram for OneFactorModel::ShortRateTree:
[legend]List of all members.
Detailed Description
Recombining trinomial tree discretizing the state variable.
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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.
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| 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.
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Size | size (Size i) const |
DiscountFactor | discount (Size i, Size index) const |
| Discount factor at time t_i and node indexed by index.
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Protected Member Functions |
Size | descendant (Size i, Size index, Size branch) const |
| Tree properties.
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Real | probability (Size i, Size index, Size branch) const |
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