- QuantLib
- TreeLattice2D
Two-dimensional tree-based lattice. More...
#include <ql/methods/lattices/lattice2d.hpp>
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< Array > | grid (Time) const |
Protected Attributes | |
boost::shared_ptr< T > | tree1_ |
boost::shared_ptr< T > | tree2_ |
Two-dimensional tree-based lattice.
This lattice is based on two trinomial trees and primarily used for the G2 short-rate model.