Lattice2D Class Reference

#include <ql/Lattices/lattice2d.hpp>

Inheritance diagram for Lattice2D:

Inheritance graph
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List of all members.

Detailed Description

Two-dimensional lattice.

This lattice is based on two trinomial trees and primarly used for the G2 short-rate model.


Public Member Functions

 Lattice2D (const Handle< TrinomialTree > &tree1, const Handle< TrinomialTree > &tree2, double correlation)
Size size (Size i) const

Protected Member Functions

Size descendant (Size i, Size index, Size branch) const
 Tree properties.

double probability (Size i, Size index, Size branch) const

Protected Attributes

Handle< Treetree1_
Handle< Treetree2_


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