QuantLib
A free/open-source library for quantitative finance
Reference manual - version 1.20
Public Member Functions | Protected Member Functions | Protected Attributes | List of all members
TreeLattice2D< Impl, T > Class Template Reference

Two-dimensional tree-based lattice. More...

#include <ql/methods/lattices/lattice2d.hpp>

+ Inheritance diagram for TreeLattice2D< Impl, T >:

Public Member Functions

 TreeLattice2D (const ext::shared_ptr< T > &tree1, const ext::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
 
- Public Member Functions inherited from TreeLattice< Impl >
 TreeLattice (const TimeGrid &timeGrid, Size n)
 
void initialize (DiscretizedAsset &, Time t) const
 initialize an asset at the given time.
 
void rollback (DiscretizedAsset &, Time to) const
 
void partialRollback (DiscretizedAsset &, Time to) const
 
Real presentValue (DiscretizedAsset &) const
 Computes the present value of an asset using Arrow-Debrew prices.
 
const ArraystatePrices (Size i) const
 
void stepback (Size i, const Array &values, Array &newValues) const
 
- Public Member Functions inherited from Lattice
 Lattice (const TimeGrid &timeGrid)
 
const TimeGridtimeGrid () const
 

Protected Member Functions

Disposable< Arraygrid (Time) const
 
- Protected Member Functions inherited from TreeLattice< Impl >
void computeStatePrices (Size until) const
 
- Protected Member Functions inherited from CuriouslyRecurringTemplate< Impl >
Impl & impl ()
 
const Impl & impl () const
 

Protected Attributes

ext::shared_ptr< T > tree1_
 
ext::shared_ptr< T > tree2_
 
- Protected Attributes inherited from TreeLattice< Impl >
std::vector< ArraystatePrices_
 
- Protected Attributes inherited from Lattice
TimeGrid t_
 

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.