QuantLib 0.3.11 http://quantlib.org Getting started Introduction Project overview Where to get QuantLib Installation Configuration Usage Frequently asked questions Version history Additional resources The QuantLib group Copyright and license Reference manual Modules Class Hierarchy Compound List File List Compound Members File Members Todo List Known Bugs Test Suite Deprecated Features Examples

TwoFactorModel::ShortRateTree Class Reference #include <ql/ShortRateModels/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 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

---

QuantLib.org

Hosted by

Documentation generated by