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Class TreeLattice2D<Impl>

Two-dimensional tree-based lattice.

This lattice is based on two trinomial trees and primarily used for the G2 short-rate model.

Type parameters

Hierarchy

Implements

Index

Properties

Methods

Properties

Private _m

_m: Matrix

Private _rho

_rho: Real

Protected _statePrices

_statePrices: Real[][]

_t

_t: TimeGrid

Protected _tree1

_tree1: TrinomialTree

Protected _tree2

_tree2: TrinomialTree

impl

impl: () => any

Type declaration

    • (): any

    • Returns any

init

init: (timeGrid: TimeGrid) => Lattice

Type declaration

timeGrid

timeGrid: () => TimeGrid

Type declaration

Methods

Protected computeStatePrices

  • computeStatePrices(until: Size): void

descendant

  • Parameters

    Returns Real

grid

init2D

initialize

partialRollback

presentValue

probability

  • Parameters

    Returns Real

rollback

size

  • Parameters

    Returns Size

statePrices

stepback

  • stepback(i: Size, values: Real[], newValues: Real[]): void

tlInit