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, 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 override
	initialize an asset at the given time.
void	rollback (DiscretizedAsset &, Time to) const override
void	partialRollback (DiscretizedAsset &, Time to) const override
Real	presentValue (DiscretizedAsset &) const override
	Computes the present value of an asset using Arrow-Debrew prices.
const Array &	statePrices (Size i) const
void	stepback (Size i, const Array &values, Array &newValues) const
Public Member Functions inherited from Lattice
	Lattice (TimeGrid timeGrid)
const TimeGrid &	timeGrid () const

Protected Member Functions
Array	grid (Time) const override
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_
std::vector< Array >	statePrices_
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.

Member Function Documentation

grid()

template<class Impl, class T = TrinomialTree>

Array grid ( Time ) const

overrideprotectedvirtual

Implements Lattice.