OneFactorModel::ShortRateTree Class Reference#include <onefactormodel.hpp>
Inheritance diagram for OneFactorModel::ShortRateTree:
[legend]List of all members.
Detailed Description
Recombining trinomial tree discretizing the state variable.
|
Public Member Functions |
| ShortRateTree (const Handle< Lattices::Tree > &tree, const Handle< ShortRateDynamics > &dynamics, const TimeGrid &timeGrid) |
| Plain tree build-up from short-rate dynamics.
|
| ShortRateTree (const Handle< Lattices::Tree > &tree, const Handle< ShortRateDynamics > &dynamics, const Handle< 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 |
| Discount factor at time t_i and node indexed by index.
|
Protected Member Functions |
Size | descendant (Size i, Size index, Size branch) const |
| Tree properties.
|
double | probability (Size i, Size index, Size branch) const |
The documentation for this class was generated from the following file:
|