Class ShortRateTree

Hierarchy

TreeLattice2D<ShortRateTree>
- ShortRateTree

Implements

Index

Properties

Methods

Properties

Private _dynamics

_dynamics: ShortRateDynamics

Protected _statePrices

_statePrices: Real[][]

_t

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): 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): Real

Inherited from TreeLattice2D.descendant
- Defined in ql/methods/lattices/lattice2d.ts:61
Parameters
- i: Size
- index: Size
- branch: Size
Returns Real

discount

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

- Defined in ql/models/shortrate/twofactormodel.ts:105
Parameters
- i: Size
- index: Size
Returns DiscountFactor

grid

grid(t: Time): Real[]

Inherited from TreeLattice2D.grid

Overrides LatticeCuriouslyRecurringTemplate.grid
- Defined in ql/methods/lattices/lattice2d.ts:88
Parameters
- t: Time
Returns Real[]

init2D

init2D(tree1: TrinomialTree, tree2: TrinomialTree, correlation: Real): TreeLattice2D<ShortRateTree>

Inherited from TreeLattice2D.init2D
- Defined in ql/methods/lattices/lattice2d.ts:20
Parameters
- tree1: TrinomialTree
- tree2: TrinomialTree
- correlation: Real
Returns TreeLattice2D<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

Inherited from TreeLattice2D.probability
- Defined in ql/methods/lattices/lattice2d.ts:74
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

size

size(i: Size): Size

Inherited from TreeLattice2D.size
- Defined in ql/methods/lattices/lattice2d.ts:57
Parameters
- i: Size
Returns Size

srtInit

srtInit(tree1: TrinomialTree, tree2: TrinomialTree, dynamics: ShortRateDynamics): ShortRateTree

- Defined in ql/models/shortrate/twofactormodel.ts:97
Parameters
- tree1: TrinomialTree
- tree2: TrinomialTree
- dynamics: ShortRateDynamics
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>