OneFactorModel::ShortRateTree Class Reference
#include <ql/models/shortrate/onefactormodel.hpp>
Inheritance diagram for OneFactorModel::ShortRateTree:

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 |