TreeLattice2D Class Template Reference
[Lattice methods]

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

Inheritance diagram for TreeLattice2D:

Inheritance graph
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List of all members.

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.


Public Member Functions

 TreeLattice2D (const boost::shared_ptr< T > &tree1, const boost::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

Protected Member Functions

Disposable< Arraygrid (Time) const

Protected Attributes

boost::shared_ptr< T > tree1_
boost::shared_ptr< T > tree2_