Class ShortRateTree

Hierarchy

TreeLattice1D<ShortRateTree>
- ShortRateTree

Implements

Index

Classes

Helper

Properties

Methods

Properties

Private _dynamics

_dynamics: ShortRateDynamics

Private _spread

_spread: Spread

Protected _statePrices

_statePrices: Real[][]

_t

Private _tree

_tree: TrinomialTree

impl

impl: () => any

Type declaration

- (): any
- Returns any

init

init: (timeGrid: TimeGrid) => Lattice

Type declaration

- (timeGrid: TimeGrid): Lattice
- Parameters
  - timeGrid: TimeGrid
  Returns Lattice

timeGrid

timeGrid: () => TimeGrid

Type declaration

- (): TimeGrid
- Returns TimeGrid

Methods

Protected computeStatePrices

computeStatePrices(until: Size): void

Inherited from TreeLattice.computeStatePrices
- Defined in ql/methods/lattices/lattice.ts:130
Parameters
- until: Size
Returns void

descendant

descendant(i: Size, index: Size, branch: Size): Size

- Defined in ql/models/shortrate/onefactormodel.ts:115
Parameters
- i: Size
- index: Size
- branch: Size
Returns Size

discount

discount(i: Size, index: Size): DiscountFactor

- Defined in ql/models/shortrate/onefactormodel.ts:104
Parameters
- i: Size
- index: Size
Returns DiscountFactor

grid

grid(t: Time): Real[]

Inherited from TreeLattice1D.grid

Overrides LatticeCuriouslyRecurringTemplate.grid
- Defined in ql/methods/lattices/lattice1d.ts:26
Parameters
- t: Time
Returns Real[]

init1D

init1D(timeGrid: TimeGrid, n: Size): TreeLattice1D<ShortRateTree>

Inherited from TreeLattice1D.init1D
- Defined in ql/methods/lattices/lattice1d.ts:21
Parameters
- timeGrid: TimeGrid
- n: Size
Returns TreeLattice1D<ShortRateTree>

initialize

initialize(asset: DiscretizedAsset, t: Time): void

Inherited from TreeLattice.initialize

Overrides LatticeCuriouslyRecurringTemplate.initialize
- Defined in ql/methods/lattices/lattice.ts:80
Parameters
- asset: DiscretizedAsset
- t: Time
Returns void

partialRollback

partialRollback(asset: DiscretizedAsset, to: Time): void

Inherited from TreeLattice.partialRollback

Overrides LatticeCuriouslyRecurringTemplate.partialRollback
- Defined in ql/methods/lattices/lattice.ts:91
Parameters
- asset: DiscretizedAsset
- to: Time
Returns void

presentValue

presentValue(asset: DiscretizedAsset): Real

Inherited from TreeLattice.presentValue

Overrides LatticeCuriouslyRecurringTemplate.presentValue
- Defined in ql/methods/lattices/lattice.ts:75
Parameters
- asset: DiscretizedAsset
Returns Real

probability

probability(i: Size, index: Size, branch: Size): Real

- Defined in ql/models/shortrate/onefactormodel.ts:119
Parameters
- i: Size
- index: Size
- branch: Size
Returns Real

rollback

rollback(asset: DiscretizedAsset, to: Time): void

Inherited from TreeLattice.rollback

Overrides LatticeCuriouslyRecurringTemplate.rollback
- Defined in ql/methods/lattices/lattice.ts:86
Parameters
- asset: DiscretizedAsset
- to: Time
Returns void

setSpread

setSpread(spread: Spread): void

- Defined in ql/models/shortrate/onefactormodel.ts:123
Parameters
- spread: Spread
Returns void

size

size(i: Size): Size

- Defined in ql/models/shortrate/onefactormodel.ts:100
Parameters
- i: Size
Returns Size

srtInit1

srtInit1(tree: TrinomialTree, dynamics: ShortRateDynamics, timeGrid: TimeGrid): ShortRateTree

- Defined in ql/models/shortrate/onefactormodel.ts:59
Parameters
- tree: TrinomialTree
- dynamics: ShortRateDynamics
- timeGrid: TimeGrid
Returns ShortRateTree

srtInit2

srtInit2(tree: TrinomialTree, dynamics: ShortRateDynamics, theta: NumericalImpl, timeGrid: TimeGrid): ShortRateTree

- Defined in ql/models/shortrate/onefactormodel.ts:71
Parameters
- tree: TrinomialTree
- dynamics: ShortRateDynamics
- theta: NumericalImpl
- timeGrid: TimeGrid
Returns ShortRateTree

statePrices

statePrices(i: Size): Real[]

Implementation of ITreeLattice.statePrices

Inherited from TreeLattice.statePrices
- Defined in ql/methods/lattices/lattice.ts:68
Parameters
- i: Size
Returns Real[]

stepback

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

Implementation of ITreeLattice.stepback

Inherited from TreeLattice.stepback
- Defined in ql/methods/lattices/lattice.ts:118
Parameters
- i: Size
- values: Real[]
- newValues: Real[]
Returns void

tlInit

tlInit(timeGrid: TimeGrid, n: Size): TreeLattice<ShortRateTree>

Inherited from TreeLattice.tlInit
- Defined in ql/methods/lattices/lattice.ts:56
Parameters
- timeGrid: TimeGrid
- n: Size
Returns TreeLattice<ShortRateTree>

underlying

underlying(i: Size, index: Size): Real

Overrides TreeLattice1D.underlying
- Defined in ql/models/shortrate/onefactormodel.ts:111
Parameters
- i: Size
- index: Size
Returns Real