QuantLib 0.3.6 http://quantlib.org User manual Introduction to QuantLib Introduction Project overview Where to get QuantLib Installation Usage Version history Additional resources The QuantLib group Copyright and license QuantLib components Core classes Date and time calculations Lattice methods The finite differences framework The Monte Carlo framework Short-rate models Currencies and FX rates Instruments and pricers Math tools Design patterns Term structures Utilities Examples Reference manual Modules Class Hierarchy Compound List File List Compound Members File Members Todo List Known Bugs Deprecated Features

Lattice2D Class Reference #include <ql/Lattices/lattice2d.hpp> Inheritance diagram for Lattice2D: [legend]List of all members. Detailed Description Two-dimensional lattice. This lattice is based on two trinomial trees and primarly used for the G2 short-rate model. Public Member Functions   Lattice2D (const Handle< TrinomialTree > &tree1, const Handle< TrinomialTree > &tree2, double correlation) Size  size (Size i) const Protected Member Functions Size  descendant (Size i, Size index, Size branch) const   Tree properties. double  probability (Size i, Size index, Size branch) const Protected Attributes Handle< Tree >  tree1_ Handle< Tree >  tree2_

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