OneFactorModel::ShortRateTree Class Reference

#include <ql/models/shortrate/onefactormodel.hpp>

Inheritance diagram for OneFactorModel::ShortRateTree:

Inheritance graph
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List of all members.

Detailed Description

Recombining trinomial tree discretizing the state variable.


Public Member Functions

 ShortRateTree (const boost::shared_ptr< TrinomialTree > &tree, const boost::shared_ptr< ShortRateDynamics > &dynamics, const TimeGrid &timeGrid)
 Plain tree build-up from short-rate dynamics.
 ShortRateTree (const boost::shared_ptr< TrinomialTree > &tree, const boost::shared_ptr< ShortRateDynamics > &dynamics, const boost::shared_ptr< TermStructureFittingParameter::NumericalImpl > &phi, const TimeGrid &timeGrid)
 Tree build-up + numerical fitting to term-structure.
Size size (Size i) const
DiscountFactor discount (Size i, Size index) const
Real underlying (Size i, Size index) const
Size descendant (Size i, Size index, Size branch) const
Real probability (Size i, Size index, Size branch) const