TwoFactorModel::ShortRateTree Class Reference

#include <ql/ShortRateModels/twofactormodel.hpp>

Inheritance diagram for TwoFactorModel::ShortRateTree:

Inheritance graph
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List of all members.

Detailed Description

Recombining two-dimensional tree discretizing the state variable.


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
 Discount factor at time t_i and node indexed by index.


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