QuantLib 0.3.3 http://quantlib.org User manual Introduction to QuantLib Introduction Project overview Where to get QuantLib Installation Usage Supported platforms Version history Todo list Additional resources The QuantLib group Copyright and license QuantLib components Core classes Date and time calculations Lattice methods The finite differences framework The Monte Carlo framework Short-rate models Currencies and FX rates Instruments and pricers Math tools Design patterns Term structures Utilities Examples Reference manual Modules Namespace List Class Hierarchy Compound List File List Namespace Members Compound Members File Members Unstable Features Deprecated List

TwoFactorModel::ShortRateTree Class Reference #include <twofactormodel.hpp> Inheritance diagram for TwoFactorModel::ShortRateTree: [legend]List of all members. Detailed Description Recombining two-dimensional tree discretizing the state variable. Public Member Functions   ShortRateTree (const Handle< Lattices::TrinomialTree > &tree1, const Handle< Lattices::TrinomialTree > &tree2, const Handle< ShortRateDynamics > &dynamics)   Plain tree build-up from short-rate dynamics. DiscountFactor  discount (Size i, Size index) const   Discount factor at time t_i and node indexed by index. The documentation for this class was generated from the following file: ql/ShortRateModels/twofactormodel.hpp

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