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<li class="navelem"><a class="el" href="namespace_quant_lib.html">QuantLib</a></li><li class="navelem"><a class="el" href="class_quant_lib_1_1_one_factor_model.html">OneFactorModel</a></li><li class="navelem"><a class="el" href="class_quant_lib_1_1_one_factor_model_1_1_short_rate_tree.html">ShortRateTree</a></li> </ul>
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<a href="#pub-methods">Public Member Functions</a> |
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<div class="title">OneFactorModel::ShortRateTree Class Reference</div> </div>
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<p>Recombining trinomial tree discretizing the state variable.
<a href="class_quant_lib_1_1_one_factor_model_1_1_short_rate_tree.html#details">More...</a></p>
<p><code>#include <ql/models/shortrate/onefactormodel.hpp></code></p>
<div id="dynsection-0" onclick="return toggleVisibility(this)" class="dynheader closed" style="cursor:pointer;">
<img id="dynsection-0-trigger" src="closed.png" alt="+"/> Inheritance diagram for OneFactorModel::ShortRateTree:</div>
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<table class="memberdecls">
<tr class="heading"><td colspan="2"><h2 class="groupheader"><a name="pub-methods"></a>
Public Member Functions</h2></td></tr>
<tr class="memitem:abe24593f184e0aeefa20bf8255bd0d89"><td class="memItemLeft" align="right" valign="top"><a id="abe24593f184e0aeefa20bf8255bd0d89"></a>
 </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_one_factor_model_1_1_short_rate_tree.html#abe24593f184e0aeefa20bf8255bd0d89">ShortRateTree</a> (const ext::shared_ptr< <a class="el" href="class_quant_lib_1_1_trinomial_tree.html">TrinomialTree</a> > &<a class="el" href="class_quant_lib_1_1_one_factor_model.html#adb779c340f1abe6ecd52a7788d85eb38">tree</a>, const ext::shared_ptr< <a class="el" href="class_quant_lib_1_1_one_factor_model_1_1_short_rate_dynamics.html">ShortRateDynamics</a> > &<a class="el" href="class_quant_lib_1_1_one_factor_model.html#a034178c1cf2a8c0a93b9cfcdee47dd22">dynamics</a>, const <a class="el" href="class_quant_lib_1_1_time_grid.html">TimeGrid</a> &timeGrid)</td></tr>
<tr class="memdesc:abe24593f184e0aeefa20bf8255bd0d89"><td class="mdescLeft"> </td><td class="mdescRight">Plain tree build-up from short-rate dynamics. <br /></td></tr>
<tr class="separator:abe24593f184e0aeefa20bf8255bd0d89"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:a73bc09d6705ec3485214893757e15e5e"><td class="memItemLeft" align="right" valign="top"><a id="a73bc09d6705ec3485214893757e15e5e"></a>
 </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_one_factor_model_1_1_short_rate_tree.html#a73bc09d6705ec3485214893757e15e5e">ShortRateTree</a> (const ext::shared_ptr< <a class="el" href="class_quant_lib_1_1_trinomial_tree.html">TrinomialTree</a> > &<a class="el" href="class_quant_lib_1_1_one_factor_model.html#adb779c340f1abe6ecd52a7788d85eb38">tree</a>, const ext::shared_ptr< <a class="el" href="class_quant_lib_1_1_one_factor_model_1_1_short_rate_dynamics.html">ShortRateDynamics</a> > &<a class="el" href="class_quant_lib_1_1_one_factor_model.html#a034178c1cf2a8c0a93b9cfcdee47dd22">dynamics</a>, const ext::shared_ptr< TermStructureFittingParameter::NumericalImpl > &phi, const <a class="el" href="class_quant_lib_1_1_time_grid.html">TimeGrid</a> &timeGrid)</td></tr>
<tr class="memdesc:a73bc09d6705ec3485214893757e15e5e"><td class="mdescLeft"> </td><td class="mdescRight"><a class="el" href="class_quant_lib_1_1_tree.html" title="Tree approximating a single-factor diffusion">Tree</a> build-up + numerical fitting to term-structure. <br /></td></tr>
<tr class="separator:a73bc09d6705ec3485214893757e15e5e"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:aeb4f25e4b90d3059100df693c425563f"><td class="memItemLeft" align="right" valign="top"><a id="aeb4f25e4b90d3059100df693c425563f"></a>
<a class="el" href="group__types.html#gaf38bdb4c54463b1f456655efa95b5c77">Size</a> </td><td class="memItemRight" valign="bottom"><b>size</b> (<a class="el" href="group__types.html#gaf38bdb4c54463b1f456655efa95b5c77">Size</a> i) const</td></tr>
<tr class="separator:aeb4f25e4b90d3059100df693c425563f"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:a75d97ad32f727ac89968a585df35384d"><td class="memItemLeft" align="right" valign="top"><a id="a75d97ad32f727ac89968a585df35384d"></a>
<a class="el" href="group__types.html#ga642a971a0bcbbd2fb26c35e1a06e5761">DiscountFactor</a> </td><td class="memItemRight" valign="bottom"><b>discount</b> (<a class="el" href="group__types.html#gaf38bdb4c54463b1f456655efa95b5c77">Size</a> i, <a class="el" href="group__types.html#gaf38bdb4c54463b1f456655efa95b5c77">Size</a> index) const</td></tr>
<tr class="separator:a75d97ad32f727ac89968a585df35384d"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:a9c660cefba93734dec67bf2180b51689"><td class="memItemLeft" align="right" valign="top"><a id="a9c660cefba93734dec67bf2180b51689"></a>
<a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> </td><td class="memItemRight" valign="bottom"><b>underlying</b> (<a class="el" href="group__types.html#gaf38bdb4c54463b1f456655efa95b5c77">Size</a> i, <a class="el" href="group__types.html#gaf38bdb4c54463b1f456655efa95b5c77">Size</a> index) const</td></tr>
<tr class="separator:a9c660cefba93734dec67bf2180b51689"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:a460df55f2a51ce5a7381cc0dfb2aa12a"><td class="memItemLeft" align="right" valign="top"><a id="a460df55f2a51ce5a7381cc0dfb2aa12a"></a>
<a class="el" href="group__types.html#gaf38bdb4c54463b1f456655efa95b5c77">Size</a> </td><td class="memItemRight" valign="bottom"><b>descendant</b> (<a class="el" href="group__types.html#gaf38bdb4c54463b1f456655efa95b5c77">Size</a> i, <a class="el" href="group__types.html#gaf38bdb4c54463b1f456655efa95b5c77">Size</a> index, <a class="el" href="group__types.html#gaf38bdb4c54463b1f456655efa95b5c77">Size</a> branch) const</td></tr>
<tr class="separator:a460df55f2a51ce5a7381cc0dfb2aa12a"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:a886717e8df5ff198a2c8463d0e4193ed"><td class="memItemLeft" align="right" valign="top"><a id="a886717e8df5ff198a2c8463d0e4193ed"></a>
<a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> </td><td class="memItemRight" valign="bottom"><b>probability</b> (<a class="el" href="group__types.html#gaf38bdb4c54463b1f456655efa95b5c77">Size</a> i, <a class="el" href="group__types.html#gaf38bdb4c54463b1f456655efa95b5c77">Size</a> index, <a class="el" href="group__types.html#gaf38bdb4c54463b1f456655efa95b5c77">Size</a> branch) const</td></tr>
<tr class="separator:a886717e8df5ff198a2c8463d0e4193ed"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:a78d25b40284dc7d2b70a14448f5b86bf"><td class="memItemLeft" align="right" valign="top"><a id="a78d25b40284dc7d2b70a14448f5b86bf"></a>
void </td><td class="memItemRight" valign="bottom"><b>setSpread</b> (<a class="el" href="group__types.html#gae7427f4743503002b0c6eeeefae91a3d">Spread</a> spread)</td></tr>
<tr class="separator:a78d25b40284dc7d2b70a14448f5b86bf"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="inherit_header pub_methods_class_quant_lib_1_1_tree_lattice1_d"><td colspan="2" onclick="javascript:toggleInherit('pub_methods_class_quant_lib_1_1_tree_lattice1_d')"><img src="closed.png" alt="-"/> Public Member Functions inherited from <a class="el" href="class_quant_lib_1_1_tree_lattice1_d.html">TreeLattice1D< OneFactorModel::ShortRateTree ></a></td></tr>
<tr class="memitem:a9b4bb30e9396e4b4cb9cf821ddc4645d inherit pub_methods_class_quant_lib_1_1_tree_lattice1_d"><td class="memItemLeft" align="right" valign="top"><a id="a9b4bb30e9396e4b4cb9cf821ddc4645d"></a>
 </td><td class="memItemRight" valign="bottom"><b>TreeLattice1D</b> (const <a class="el" href="class_quant_lib_1_1_time_grid.html">TimeGrid</a> &timeGrid, <a class="el" href="group__types.html#gaf38bdb4c54463b1f456655efa95b5c77">Size</a> n)</td></tr>
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<tr class="memitem:adb690da9ffa7bb9e77f2d30a4b032157 inherit pub_methods_class_quant_lib_1_1_tree_lattice1_d"><td class="memItemLeft" align="right" valign="top"><a id="adb690da9ffa7bb9e77f2d30a4b032157"></a>
<a class="el" href="class_quant_lib_1_1_disposable.html">Disposable</a>< <a class="el" href="class_quant_lib_1_1_array.html">Array</a> > </td><td class="memItemRight" valign="bottom"><b>grid</b> (<a class="el" href="group__types.html#ga14fb8fca43a68f4168654e1f9f7e22f7">Time</a> t) const</td></tr>
<tr class="separator:adb690da9ffa7bb9e77f2d30a4b032157 inherit pub_methods_class_quant_lib_1_1_tree_lattice1_d"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:a9c660cefba93734dec67bf2180b51689 inherit pub_methods_class_quant_lib_1_1_tree_lattice1_d"><td class="memItemLeft" align="right" valign="top"><a id="a9c660cefba93734dec67bf2180b51689"></a>
<a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> </td><td class="memItemRight" valign="bottom"><b>underlying</b> (<a class="el" href="group__types.html#gaf38bdb4c54463b1f456655efa95b5c77">Size</a> i, <a class="el" href="group__types.html#gaf38bdb4c54463b1f456655efa95b5c77">Size</a> index) const</td></tr>
<tr class="separator:a9c660cefba93734dec67bf2180b51689 inherit pub_methods_class_quant_lib_1_1_tree_lattice1_d"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="inherit_header pub_methods_class_quant_lib_1_1_tree_lattice"><td colspan="2" onclick="javascript:toggleInherit('pub_methods_class_quant_lib_1_1_tree_lattice')"><img src="closed.png" alt="-"/> Public Member Functions inherited from <a class="el" href="class_quant_lib_1_1_tree_lattice.html">TreeLattice< OneFactorModel::ShortRateTree ></a></td></tr>
<tr class="memitem:af64044578078d5872bb088b0a6892a6f inherit pub_methods_class_quant_lib_1_1_tree_lattice"><td class="memItemLeft" align="right" valign="top"><a id="af64044578078d5872bb088b0a6892a6f"></a>
 </td><td class="memItemRight" valign="bottom"><b>TreeLattice</b> (const <a class="el" href="class_quant_lib_1_1_time_grid.html">TimeGrid</a> &timeGrid, <a class="el" href="group__types.html#gaf38bdb4c54463b1f456655efa95b5c77">Size</a> n)</td></tr>
<tr class="separator:af64044578078d5872bb088b0a6892a6f inherit pub_methods_class_quant_lib_1_1_tree_lattice"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:aadecec230a2b57534911ed193bffdb5b inherit pub_methods_class_quant_lib_1_1_tree_lattice"><td class="memItemLeft" align="right" valign="top"><a id="aadecec230a2b57534911ed193bffdb5b"></a>
void </td><td class="memItemRight" valign="bottom"><b>initialize</b> (<a class="el" href="class_quant_lib_1_1_discretized_asset.html">DiscretizedAsset</a> &, <a class="el" href="group__types.html#ga14fb8fca43a68f4168654e1f9f7e22f7">Time</a> t) const</td></tr>
<tr class="memdesc:aadecec230a2b57534911ed193bffdb5b inherit pub_methods_class_quant_lib_1_1_tree_lattice"><td class="mdescLeft"> </td><td class="mdescRight">initialize an asset at the given time. <br /></td></tr>
<tr class="separator:aadecec230a2b57534911ed193bffdb5b inherit pub_methods_class_quant_lib_1_1_tree_lattice"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:a76086cb813dfb54bedee9ccac8946988 inherit pub_methods_class_quant_lib_1_1_tree_lattice"><td class="memItemLeft" align="right" valign="top">void </td><td class="memItemRight" valign="bottom"><b>rollback</b> (<a class="el" href="class_quant_lib_1_1_discretized_asset.html">DiscretizedAsset</a> &, <a class="el" href="group__types.html#ga14fb8fca43a68f4168654e1f9f7e22f7">Time</a> to) const</td></tr>
<tr class="separator:a76086cb813dfb54bedee9ccac8946988 inherit pub_methods_class_quant_lib_1_1_tree_lattice"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:ab295d7d0092f6d1fc6a43b74f21afd2c inherit pub_methods_class_quant_lib_1_1_tree_lattice"><td class="memItemLeft" align="right" valign="top">void </td><td class="memItemRight" valign="bottom"><b>partialRollback</b> (<a class="el" href="class_quant_lib_1_1_discretized_asset.html">DiscretizedAsset</a> &, <a class="el" href="group__types.html#ga14fb8fca43a68f4168654e1f9f7e22f7">Time</a> to) const</td></tr>
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<tr class="memitem:ad3c902f7e755ead81aa81e843571d7f2 inherit pub_methods_class_quant_lib_1_1_tree_lattice"><td class="memItemLeft" align="right" valign="top"><a id="ad3c902f7e755ead81aa81e843571d7f2"></a>
<a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_tree_lattice.html#ad3c902f7e755ead81aa81e843571d7f2">presentValue</a> (<a class="el" href="class_quant_lib_1_1_discretized_asset.html">DiscretizedAsset</a> &) const</td></tr>
<tr class="memdesc:ad3c902f7e755ead81aa81e843571d7f2 inherit pub_methods_class_quant_lib_1_1_tree_lattice"><td class="mdescLeft"> </td><td class="mdescRight">Computes the present value of an asset using Arrow-Debrew prices. <br /></td></tr>
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<tr class="memitem:aa459bdf933b1d71b3647d1be3ea625c1 inherit pub_methods_class_quant_lib_1_1_tree_lattice"><td class="memItemLeft" align="right" valign="top"><a id="aa459bdf933b1d71b3647d1be3ea625c1"></a>
const <a class="el" href="class_quant_lib_1_1_array.html">Array</a> & </td><td class="memItemRight" valign="bottom"><b>statePrices</b> (<a class="el" href="group__types.html#gaf38bdb4c54463b1f456655efa95b5c77">Size</a> i) const</td></tr>
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<tr class="memitem:abdfae8e430bc8e203480d0b2b778ff5b inherit pub_methods_class_quant_lib_1_1_tree_lattice"><td class="memItemLeft" align="right" valign="top"><a id="abdfae8e430bc8e203480d0b2b778ff5b"></a>
void </td><td class="memItemRight" valign="bottom"><b>stepback</b> (<a class="el" href="group__types.html#gaf38bdb4c54463b1f456655efa95b5c77">Size</a> i, const <a class="el" href="class_quant_lib_1_1_array.html">Array</a> &values, <a class="el" href="class_quant_lib_1_1_array.html">Array</a> &newValues) const</td></tr>
<tr class="separator:abdfae8e430bc8e203480d0b2b778ff5b inherit pub_methods_class_quant_lib_1_1_tree_lattice"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="inherit_header pub_methods_class_quant_lib_1_1_lattice"><td colspan="2" onclick="javascript:toggleInherit('pub_methods_class_quant_lib_1_1_lattice')"><img src="closed.png" alt="-"/> Public Member Functions inherited from <a class="el" href="class_quant_lib_1_1_lattice.html">Lattice</a></td></tr>
<tr class="memitem:aa11e1abb76c37d91d43b0e0fd132f9c4 inherit pub_methods_class_quant_lib_1_1_lattice"><td class="memItemLeft" align="right" valign="top"><a id="aa11e1abb76c37d91d43b0e0fd132f9c4"></a>
 </td><td class="memItemRight" valign="bottom"><b>Lattice</b> (const <a class="el" href="class_quant_lib_1_1_time_grid.html">TimeGrid</a> &timeGrid)</td></tr>
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<tr class="memitem:ab1b4f3ee63c7fc18845e10236dd5df8d inherit pub_methods_class_quant_lib_1_1_lattice"><td class="memItemLeft" align="right" valign="top"><a id="ab1b4f3ee63c7fc18845e10236dd5df8d"></a>
const <a class="el" href="class_quant_lib_1_1_time_grid.html">TimeGrid</a> & </td><td class="memItemRight" valign="bottom"><b>timeGrid</b> () const</td></tr>
<tr class="separator:ab1b4f3ee63c7fc18845e10236dd5df8d inherit pub_methods_class_quant_lib_1_1_lattice"><td class="memSeparator" colspan="2"> </td></tr>
</table><table class="memberdecls">
<tr class="heading"><td colspan="2"><h2 class="groupheader"><a name="inherited"></a>
Additional Inherited Members</h2></td></tr>
<tr class="inherit_header pro_methods_class_quant_lib_1_1_tree_lattice"><td colspan="2" onclick="javascript:toggleInherit('pro_methods_class_quant_lib_1_1_tree_lattice')"><img src="closed.png" alt="-"/> Protected Member Functions inherited from <a class="el" href="class_quant_lib_1_1_tree_lattice.html">TreeLattice< OneFactorModel::ShortRateTree ></a></td></tr>
<tr class="memitem:ab808d850cb00707871408290c132bf24 inherit pro_methods_class_quant_lib_1_1_tree_lattice"><td class="memItemLeft" align="right" valign="top"><a id="ab808d850cb00707871408290c132bf24"></a>
void </td><td class="memItemRight" valign="bottom"><b>computeStatePrices</b> (<a class="el" href="group__types.html#gaf38bdb4c54463b1f456655efa95b5c77">Size</a> until) const</td></tr>
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<tr class="inherit_header pro_methods_class_quant_lib_1_1_curiously_recurring_template"><td colspan="2" onclick="javascript:toggleInherit('pro_methods_class_quant_lib_1_1_curiously_recurring_template')"><img src="closed.png" alt="-"/> Protected Member Functions inherited from <a class="el" href="class_quant_lib_1_1_curiously_recurring_template.html">CuriouslyRecurringTemplate< OneFactorModel::ShortRateTree ></a></td></tr>
<tr class="memitem:af644e65b081eafdcfdf59fed1e0d50ff inherit pro_methods_class_quant_lib_1_1_curiously_recurring_template"><td class="memItemLeft" align="right" valign="top"><a id="af644e65b081eafdcfdf59fed1e0d50ff"></a>
<a class="el" href="class_quant_lib_1_1_one_factor_model_1_1_short_rate_tree.html">OneFactorModel::ShortRateTree</a> & </td><td class="memItemRight" valign="bottom"><b>impl</b> ()</td></tr>
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<tr class="memitem:a347ce8909f609d980047e6d1a8c6c444 inherit pro_methods_class_quant_lib_1_1_curiously_recurring_template"><td class="memItemLeft" align="right" valign="top"><a id="a347ce8909f609d980047e6d1a8c6c444"></a>
const <a class="el" href="class_quant_lib_1_1_one_factor_model_1_1_short_rate_tree.html">OneFactorModel::ShortRateTree</a> & </td><td class="memItemRight" valign="bottom"><b>impl</b> () const</td></tr>
<tr class="separator:a347ce8909f609d980047e6d1a8c6c444 inherit pro_methods_class_quant_lib_1_1_curiously_recurring_template"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="inherit_header pro_attribs_class_quant_lib_1_1_tree_lattice"><td colspan="2" onclick="javascript:toggleInherit('pro_attribs_class_quant_lib_1_1_tree_lattice')"><img src="closed.png" alt="-"/> Protected Attributes inherited from <a class="el" href="class_quant_lib_1_1_tree_lattice.html">TreeLattice< OneFactorModel::ShortRateTree ></a></td></tr>
<tr class="memitem:a3c97e0e3435a61b1832d2977130765f3 inherit pro_attribs_class_quant_lib_1_1_tree_lattice"><td class="memItemLeft" align="right" valign="top"><a id="a3c97e0e3435a61b1832d2977130765f3"></a>
std::vector< <a class="el" href="class_quant_lib_1_1_array.html">Array</a> > </td><td class="memItemRight" valign="bottom"><b>statePrices_</b></td></tr>
<tr class="separator:a3c97e0e3435a61b1832d2977130765f3 inherit pro_attribs_class_quant_lib_1_1_tree_lattice"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="inherit_header pro_attribs_class_quant_lib_1_1_lattice"><td colspan="2" onclick="javascript:toggleInherit('pro_attribs_class_quant_lib_1_1_lattice')"><img src="closed.png" alt="-"/> Protected Attributes inherited from <a class="el" href="class_quant_lib_1_1_lattice.html">Lattice</a></td></tr>
<tr class="memitem:ab90fa1dcf13b5f32d2e434defca13d21 inherit pro_attribs_class_quant_lib_1_1_lattice"><td class="memItemLeft" align="right" valign="top"><a id="ab90fa1dcf13b5f32d2e434defca13d21"></a>
<a class="el" href="class_quant_lib_1_1_time_grid.html">TimeGrid</a> </td><td class="memItemRight" valign="bottom"><b>t_</b></td></tr>
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</table>
<a name="details" id="details"></a><h2 class="groupheader">Detailed Description</h2>
<div class="textblock"><p>Recombining trinomial tree discretizing the state variable. </p>
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