- 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.