- QuantLib
- TwoFactorModel
- ShortRateTree
Recombining two-dimensional tree discretizing the state variable. More...
#include <ql/models/shortrate/twofactormodel.hpp>
Public Member Functions | |
ShortRateTree (const boost::shared_ptr< TrinomialTree > &tree1, const boost::shared_ptr< TrinomialTree > &tree2, const boost::shared_ptr< ShortRateDynamics > &dynamics) | |
Plain tree build-up from short-rate dynamics. | |
DiscountFactor | discount (Size i, Size index) const |
Recombining two-dimensional tree discretizing the state variable.