org.jquantlib.methods.lattices

Class TreeLattice2D<T extends TrinomialTree>

java.lang.Object

org.jquantlib.methods.lattices.Lattice

org.jquantlib.methods.lattices.TreeLattice

org.jquantlib.methods.lattices.TreeLattice2D<T>

Direct Known Subclasses:

TwoFactorModel.ShortRateTree

public abstract class TreeLattice2D<T extends TrinomialTree>
extends TreeLattice

Constructor Summary

Constructors

Constructor and Description
TreeLattice2D(T tree1, T tree2, double correlation)

Method Summary

Modifier and Type	Method and Description
int	descendant(int i, int index, int branch)
Array	grid(double t) This is smelly, but we need it.
double	probability(int i, int index, int branch)
int	size(int i)

Methods inherited from class org.jquantlib.methods.lattices.TreeLattice

discount, initialize, partialRollback, presentValue, rollback, statePrices, stepback

Methods inherited from class org.jquantlib.methods.lattices.Lattice

timeGrid

Methods inherited from class java.lang.Object

equals, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait

Constructor Detail

TreeLattice2D

public TreeLattice2D(T tree1,
                     T tree2,
                     double correlation)

Method Detail

grid

public Array grid(double t)

Description copied from class: Lattice

This is smelly, but we need it. We'll rethink it later.

Specified by:

grid in class Lattice

Returns:

size

public int size(int i)

Specified by:

size in class TreeLattice

descendant

public int descendant(int i,
                      int index,
                      int branch)

Specified by:

descendant in class TreeLattice

probability

public double probability(int i,
                          int index,
                          int branch)

Specified by:

probability in class TreeLattice